DYNAMIC ASSET CORRELATIONS BASED ON VINES
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Publication:4629569
DOI10.1017/S026646661800004XzbMath1415.62154OpenAlexW3122145749MaRDI QIDQ4629569
Benjamin Poignard, Jean-David Fermanian
Publication date: 27 March 2019
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646661800004x
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
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