Fischer, Matthias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
based on trigonometric functions. Applying this test to assets from different financial markets (stocks, exchange rates … Straße 1, D-10178 Berlin
Key Words: Lagrange multiplier test, constant correlation, trigonometric functions.
JEL … correlation coefficient is
based on trigonometric functions. Applying this test to assets from different financial markets
(stocks …