High dimension dynamic correlations
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Publication:4593681
zbMATH Open1378.62067MaRDI QIDQ4593681FDOQ4593681
Authors: Robert F. Engle 
Publication date: 22 November 2017
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estimation methoddynamic conditional correlation (DCC)economic time-series modelshigh dimension dynamic correlationsMacGyver method
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cited In (6)
- 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
- Dynamic modeling of high-dimensional correlation matrices in finance
- DCC-GARCH model for market and firm-level dynamic correlation in S\&P 500
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