High and Low Frequency Correlations in Global Equity Markets
Year of publication: |
2009-12
|
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Authors: | Engle, Robert F. ; Rangel, José Gonzalo |
Institutions: | Banco de México |
Subject: | Dynamic conditional correlations | high and low frequency variation | global markets | non-synchronicity |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2009-17 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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High and low frequency correlations in global equity markets
Engle, Robert, (2009)
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Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
Aielli, Gian Piero, (2011)
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High and low frequency correlations in global equity markets
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