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~institution:"School of Economics and Management, University of Aarhus"
~person:"Christoffersen, Peter"
~subject:"dynamic conditional correlation (DCC)"
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dynamic conditional correlation (DCC)
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asset allocation
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Christoffersen, Peter
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Correlation Dynamics and International Diversification Benefits
Christoffersen, Peter
;
Errunza, Vihang R.
;
Jacobs, Kris
; …
-
School of Economics and Management, University of Aarhus
-
2013
Forecasting the evolution of security co-movements is critical for
asset
pricing
and portfolio allocation. Hence, we …
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