The instability of the correlation structure of the S&P 500
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References listed on IDEAS
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More about this item
Keywordscorrelation structure; dynamic conditional correlations; range-based volatility; conditional volatility; MacGyver strategy;
- 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
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-ETS-2011-10-22 (Econometric Time Series)
- NEP-FMK-2011-10-22 (Financial Markets)
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