Characterizing correlation matrices that admit a clustered factor representation

DOI10.1016/J.ECONLET.2023.111433MaRDI QIDQ6198259zbMATH OpenOpenAlexFDO

Authors Chen Tong, Peter Reinhard Hansen

Publication date 20 March 2024

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2308.05895

zbMATH Keywords

block correlation matrixclusteringcopulafactor models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A New Parametrization of Correlation Matrices
• Dynamic factor copula models with estimated cluster assignments
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Factor copula models for multivariate data
• High dimensional dynamic stochastic copula models
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Statistical analysis of cointegration vectors
• Structured factor copula models: theory, inference and computation
• Testing for structural breaks in factor copula models
• The Model Confidence Set

Cited in

(2)

• A new method for generating random correlation matrices
• Cluster GARCH

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