Dynamic Conditional Correlations with Partial Information Pooling

DOI10.1080/07350015.2025.2526431MaRDI QIDQ7229846zbMATH OpenFDO

Authors Dick van Dijk

Publication date 17 April 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2025.2526431

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• Dynamic Conditional Correlation: On Properties and Estimation
• Dynamic Equicorrelation
• Estimation When a Parameter is on a Boundary
• Evaluating Volatility and Correlation Forecasts
• Fitting Vast Dimensional Time-Varying Covariance Models
• Generalized autoregressive conditional heteroscedasticity
• Identification of structural multivariate GARCH models
• Large Dynamic Covariance Matrices
• Multivariate GARCH Models
• Multivariate leverage effects and realized semicovariance GARCH models
• On the estimation of dynamic conditional correlation models
• Vast portfolio selection with gross-exposure constraints

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