Asymmetric conditional correlations in stock returns (Q312957)

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Asymmetric conditional correlations in stock returns
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    title
    Asymmetric conditional correlations in stock returns (English)
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    DOI
    10.1214/16-AOAS924
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    author
    Patrick W. Saart
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    Yingcun Xia
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    Hui Jiang
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    publication date
    9 September 2016
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    Mathematics Subject Classification ID
    62P05
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    62M10
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    62H25
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    zbMATH DE Number
    6625678
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    zbMATH Keywords
    conditional cross-correlation coefficient
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    kernel smoothing
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    reduced rank model
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    semiparametric models
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