High dimension dynamic correlations

MaRDI QIDQ4593681zbMATH OpenFDO

Authors Robert F. Engle

Publication date 22 November 2017

zbMATH Keywords

estimation methoddynamic conditional correlation (DCC)economic time-series modelshigh dimension dynamic correlationsMacGyver method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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(7)

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• On the high intensity limit of interacting corpora
• Leaders and followers in mutual funds: a dynamic Bayesian approach
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• Multivariate rotated ARCH models
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• DCC-GARCH model for market and firm-level dynamic correlation in S\&P 500

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