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

Nektarios Aslanidis () and Isabel Casas ()

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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)
Pages: 43
Date: 2010
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
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