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25-051/III - An Impartial Look at Asset Correlation Stability and Market Structure

  • Authors
    Etienne Wijler, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam
  • Publication date
    September 19, 2025
  • Keywords
    conditional correlations, score-driven models, financial market structure, regularization
  • JEL
    C32, C58
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