Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
type: Item
instance of: scholarly article
title: Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach
zbMATH Open document ID: 1464.62301
author: Yongli Zhang
author: Craig Rolling
author: Yuhong Yang
published in: Journal of Multivariate Analysis
publication date: 2021-04-29T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 65D07
zbMATH DE Number: 7341252
zbMATH Keywords: covariance matrix estimation
zbMATH Keywords: dynamic correlation
zbMATH Keywords: energy pricing
zbMATH Keywords: multivariate adaptive regression splines
zbMATH Keywords: nonlinear factor analysis
zbMATH Keywords: positive definiteness
describes a project that uses: fGarch
describes a project that uses: RMetrics
describes a project that uses: earth
MaRDI profile type: Publication
full work available at URL: j.jmva.2020.104710
OpenAlex ID: W3117942719
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DOI: 10.1016/J.JMVA.2020.104710
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description: scientific article; zbMATH DE number 7341252