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phenomenon. hhor, for example, do not find pricing efficiency changes across crude oil futures maturities until late (for one-year contracts) or mid- (for two-year contracts). it is therefore important to utilize recent data. accordingly, we use daily, weekly and monthly returns from january th, (when
the other hand, most of the time, the dcc estimates are close to . what is more important, we find no evidence of a secular increase in correlations in the last few years. correlation estimates are relevant for short-term investors. for long-term investors, however, the key issue is whether there exist...
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