Modelling asset correlations during the recent FInancial crisis: A semiparametric approach

Nektarios Aslanidis () and Isabel Casas ()

CREATES Research Papers from School of Economics and Management, University of Aarhus

Abstract: 8000 Aarhus C, Denmark

Keywords: Semiparametric Conditional Correlation Model; Nonparametric Correlations; DCC; Local Linear Estimator; Portfolio Evaluation. (search for similar items in EconPapers)
JEL-codes: C14 C58 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
Date: 2010
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Persistent link: http://EconPapers.repec.org/RePEc:aah:create:2010-71

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