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Matteo Barigozzi, SBS‐EM, ECARES, Université Libre de Bruxelles Christian T. Brownlees, New York University Giampiero M. Gallo, University of Florence David Veredas, SBS‐EM, ECARES, Université Libre de Bruxelles Abstract When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propo…
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