Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
| Year of publication: |
2010-10-21
|
|---|---|
| Authors: | Aslanidis, Nektarios ; Casas, Isabel |
| Institutions: | School of Economics and Management, University of Aarhus |
| Subject: | Semiparametric Conditional Correlation Model | Nonparametric Correlations | DCC | Local Linear Estimator | Portfolio Evaluation |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | 4 pages long |
| Classification: | C14 - Semiparametric and Nonparametric Methods ; c58 ; G10 - General Financial Markets. General |
| Source: |
Persistent link: https://www.econbiz.de/10008694897