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DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE - MaRDI portal

DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712)

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DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE
scientific article

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    title
    DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (English)
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    author
    Vasyl Golosnoy
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    Helmut Herwartz
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    publication date
    15 October 2012
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    zbMATH Keywords
    dynamic panel model
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    dynamic factor model
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    Fisher-z transformation
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    realized correlations
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    cites work
    Q4003578
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    Identifiers

    zbMATH DE Number
    6093591
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