Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
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Publication:5860951
DOI10.1080/07474938.2017.1411431zbMath1490.62444OpenAlexW288301852MaRDI QIDQ5860951
Andreea G. Halunga, Christos S. Savva
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2017.1411431
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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