Modeling the dependence of conditional correlations on market volatility

Luc Bauwens and Edoardo Otranto

No 2924, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2016-01-01
Note: In : Journal of Business & Economic Statistics, 34(2), 254-268, 2016
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