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DYNAMIC CONDITIONAL CORRELATION – A SIMPLE CLASS …

DYNAMIC CONDITIONAL CORRELATION – A SIMPLE CLASS …

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Sheppard for research assistance, and Pat Burns and John Geweke for insightful comments. Thanks also go to seminar participants at New York University, UCSD, Academica Sinica, Taiwan, CNRS Montreal, University of Iowa, Journal of ... correlation estimator is defined for returns with a zero mean as: (4) − ...

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