Excessive Variation in Risk Factor Correlation and Volatilities
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Other versions of this item:
- Turan G. Bali & Hans Genberg & Salih N. Neftci, 2002. "Excessive variation in risk‐factor correlations and volatilities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(12), pages 1119-1146, December.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fengler, Matthias R. & Schwendner, Peter, 2003. "Correlation Risk Premia for Multi-Asset Equity Options," SFB 373 Discussion Papers 2003,10, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
More about this item
KeywordsExcess volatility; risk factor correlations Kalman filter;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F2 - International Economics - - International Factor Movements and International Business
- G0 - Financial Economics - - General
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