Palandri, Alessandro - School of Economics and Management, University of Aarhus - 2009
Correlations, Interest Rate, Capital
Asset Pricing Model, Sequential Conditional Correlations.
space
JEL classification: G10, G19 … restrictions on the functional form and
on the set of parameters.
The Sequential Conditional Correlations (SCC) methodology … time-varying standard deviations and
Ra,t is the (M ×M) matrix of conditional correlations. The Sequential Conditional …
