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Modeling the Dependence of Conditional Correlations on Market Volatility

Bibliographic reference Bauwens, Luc ; Otranto, Edoardo. Modeling the Dependence of Conditional Correlations on Market Volatility. In: Journal of Business & Economic Statistics, Vol. 34, p. 254-268 (2016)
Permanent URL http://hdl.handle.net/2078.1/190985
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