Are correlations constant? : empirical and theoretical results on popular correlation models in finance
Zeno Adams, Roland Füss, Thorsten Glück
| Year of publication: |
November 2017
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|---|---|
| Authors: | Adams, Zeno ; Füss, Roland ; Glück, Thorsten |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 84.2017, p. 9-24
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| Subject: | Change-point tests | Correlation breaks | Dynamic conditional correlation (DCC) | Multivariate GARCH models | Spurious conditional correlation | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätzung | Estimation | Strukturbruch | Structural break | Statistischer Test | Statistical test | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.07.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011816833