Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes
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References listed on IDEAS
- Kaplanis, Evi C., 1988. "Stability and forecasting of the comovement measures of international stock market returns," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 63-75, March.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005.
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More about this item
KeywordsLagrange multiplier test; constant correlation; trigonometric functions.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-24 (All new papers)
- NEP-ECM-2007-03-24 (Econometrics)
- NEP-ETS-2007-03-24 (Econometric Time Series)
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