Excessive Variation in Risk Factor Correlation and Volatilities
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 254.
Date of creation: 01 Jul 2002
Date of revision:
Excess volatility; risk factor correlations Kalman filter;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F2 - International Economics - - International Factor Movements and International Business
- G0 - Financial Economics - - General
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