DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE

DOI10.1142/S0219024912500355zbMath1262.91053MaRDI QIDQ3166712

Helmut Herwartz, Vasyl Golosnoy

Publication date: 15 October 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

dynamic factor model; dynamic panel model; Fisher-z transformation; realized correlations

Mathematics Subject Classification ID

91B06: Decision theory

91G10: Portfolio theory

Related Items

Sequential monitoring of portfolio betas

Cites Work

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