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influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation … estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of … their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical …
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ARMA-GARCH-Modellierung; nicht-Normalität; normal-inverse Gauss-Verteilung (NIG-Verteilung); realisierte Momente; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen
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