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~institution:"Sonderforschungsbereich Ökonomisches Risiko <Berlin>"
~subject:"Default Correlations"
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Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Forschungsinstitut zur Zukunft der Arbeit <Bonn>
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Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere
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Are Correlations Constant Over Time? Application of the CC-TRIGt-test to ReturnSeries from Different Asset Classes.
Fischer, Matthias
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Sonderforschungsbereich Ökonomisches Risiko <Berlin>
-
2007
based on trigonometric functions. Applying this test to assets from different financial markets (stocks,
exchange
rates
…
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