More stylized facts of financial markets: leverage effect and downside correlations
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DOI: 10.1016/S0378-4371(01)00282-5
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- Andrew Ang & Geert Bekaert, 1999. "International Asset Allocation with Time-Varying Correlations," NBER Working Papers 7056, National Bureau of Economic Research, Inc.
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Keywords
Empirical finance; Price-volatility correlations; Equity cross-correlations;All these keywords.
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