Excessive Variation in Risk Factor Correlation and Volatilities

Salih Neftci

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)
Date: 2002-07-01
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