Dynamic modeling of high-dimensional correlation matrices in finance
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Cites work
- scientific article; zbMATH DE number 53354 (Why is no real title available?)
- A Tale of Two Time Scales
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Computing the nearest correlation matrix--a problem from finance
- Efficient estimation of a multivariate multiplicative volatility model
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting multivariate realized stock market volatility
- Formulation and estimation of dynamic models using panel data
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Modeling and Forecasting Realized Volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Robust estimation and outlier detection with correlation coefficients
- The Distribution of Realized Exchange Rate Volatility
- The Wishart autoregressive process of multivariate stochastic volatility
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Using High-Frequency Data in Dynamic Portfolio Choice
Cited in
(12)- Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Random Matrix Theory of Dynamical Cross Correlations in Financial Data
- Capturing the Correlations of Fixed-income Instruments
- Sequential monitoring of portfolio betas
- High dimension dynamic correlations
- Modeling tick-by-tick realized correlations
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
- Complex correlation approach for high frequency financial data
- On the benefits of equicorrelation for portfolio allocation
- A component model for dynamic correlations
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
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