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ARCH model 1 ARCH-Modell 1 Asset allocation 1 Correlation 1 Estimation 1 Estimation theory 1 Korrelation 1 Multivariate Analyse 1 Multivariate analysis 1 Portfolio selection 1 Portfolio-Management 1 Schätztheorie 1 Schätzung 1 Structural break 1 Strukturbruch 1 Time series analysis 1 Zeitreihenanalyse 1 multivariate GARCH 1 spurious estimation 1 structural breaks 1
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English 1
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Halunga, Andreea G. 1 Savva, Christos S. 1
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Econometric reviews 1
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Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Halunga, Andreea G.; Savva, Christos S. - In: Econometric reviews 38 (2019) 6, pp. 660-678
Persistent link: https://www.econbiz.de/10012181343
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