An Empirical Study of Correlation and Volatility Changes of Stock Indices and their Impact on Risk Figures
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- Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
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Model Evaluation; Portfolio Optimization; Risk Management;All these keywords.
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