An Empirical Study of the Dynamic Correlation of Japanese Stock Returns
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More about this item
Keywords
Stock returns; dynamic correlation; DCC-GARCH; clustering; portfolio risk;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2015-07-25 (Risk Management)
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