The Effects of Interest Rate Movements on Assets’ Conditional Second Moments
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- Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
More about this item
KeywordsConditional Variance; Conditional Correlations; Interest Rate; Capital Asset Pricing Model; Sequential Conditional Correlations;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G19 - Financial Economics - - General Financial Markets - - - Other
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-16 (All new papers)
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