Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach (Q2022540)
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scientific article; zbMATH DE number 7341252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach |
scientific article; zbMATH DE number 7341252 |
Statements
Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach (English)
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29 April 2021
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covariance matrix estimation
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dynamic correlation
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energy pricing
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multivariate adaptive regression splines
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nonlinear factor analysis
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positive definiteness
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0.8704201
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0.86893713
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0.8630092
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0.85065645
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0.84928346
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0.84663457
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0.8443277
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0.8436264
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0.8425443
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