Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
DOI10.1016/j.jmva.2020.104710zbMath1464.62301OpenAlexW3117942719MaRDI QIDQ2022540
Yuhong Yang, Craig Rolling, Yongli Zhang
Publication date: 29 April 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104710
positive definitenesscovariance matrix estimationmultivariate adaptive regression splinesdynamic correlationenergy pricingnonlinear factor analysis
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Uses Software
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