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The dependence structure between the returns of financial assets plays an important role in risk measurement. For liquid markets, which of the following statements is incorrect?
ACorrelation is valid measure of dependence between random variables for only certain types of return distributions.
BEven if the return distributions of two assets have a correlation of zero, the returns of these assets are not necessarily independent.
CCopulas make it possible to model marginal distributions and the dependence structure separately.
DWith short time horizons (3 months or less), correlation estimates are typically very stable.
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