Excessive Variation in Risk Factor Correlation and Volatilities
No 254, Computing in Economics and Finance 2002 from Society for Computational Economics
Keywords: Excess volatility; risk factor correlations Kalman filter (search for similar items in EconPapers)
JEL-codes: C5 F2 G0 (search for similar items in EconPapers)
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Journal Article: Excessive variation in risk‐factor correlations and volatilities (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:254
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