Dynamic conditional angular correlation

DOI10.1016/J.JECONOM.2020.01.010MaRDI QIDQ2305980zbMATH OpenOpenAlexFDO

Authors Riad Jarjour, Kung-Sik Chan

Publication date 20 March 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.01.010

zbMATH Keywords

instantaneous correlation matrixportfolio constructionpositive definitenessrobustnessvolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Analysis of financial time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating the Correlation in Bivariate Normal Data With Known Variances and Small Sample Sizes
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1817650 (Why is no real title available?)
• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• scientific article; zbMATH DE number 3083049 (Why is no real title available?)
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Multivariate Stochastic Volatility: A Review
• Multivariate time series analysis. With R and financial applications

Cited in

(1)

• On the Efficiency of Angular Intraprediction

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