Wiesbaden, Wiesbaden 65189
European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate
Change-point tests; correlation breaks; dynamic conditional correlation (DCC); multivariate GARCH models; spurious conditional correlation
Change-point tests, correlation breaks, dynamic conditional correlation (DCC), multivariate GARCH models, spurious conditional correlation
Financialization, commodities, risk spillovers, style investing, state-dependent sensitivity VaR
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