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A New Parametrization of Correlation Matrices

https://doi.org/10.3982/ecta16910
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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On portfolio optimization: How and when do we benefit from high‐frequency data?
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Modelling and forecasting multivariate realized volatility
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GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
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REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
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Unconstrained parametrizations for variance-covariance matrices
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A matrix derivation of the asymptotic covariance matrix of sample correlation coefficients
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The asymptotic covariance matrix of sample correlation coefficients under general conditions
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The asymptotic variance matrix of the sample correlation matrix
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Matrix exponential stochastic volatility with cross leverage
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Matrix exponential GARCH
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Forecasting multivariate realized stock market volatility
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The conditional autoregressive Wishart model for multivariate stock market volatility
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A multivariate realized GARCH model
inferredcites →https://doi.org/10.1016/s0024-3795(03)00507-xopenalex-snapshot
A parameterization of positive definite matrices in terms of partial correlation vines
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Exponentials of symmetric matrices through tridiagonal reductions
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Differentiation of an Exponential Matrix Function
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Testing for the Constancy of Parameters Over Time
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The Matrix-Logarithmic Covariance Model
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Dynamic Equicorrelation
inferredcites →https://doi.org/10.1093/jjfinec/nby007openalex-snapshot
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*
inferredcites →https://doi.org/10.1137/1.9780898717778openalex-snapshot
Functions of Matrices
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Dynamic Conditional Correlation
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A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
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Covariance Estimation: The GLM and Regularization Perspectives
inferredcites →https://doi.org/10.1214/aos/1176348885openalex-snapshot
Bayesian Inference for a Covariance Matrix
inferredcites →https://doi.org/10.1515/9783110542400openalex-snapshot
Algebra and Its Applications
inferredcites →https://doi.org/10.1515/jtse-2013-0012openalex-snapshot
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes
inferredcites →https://doi.org/10.2307/2109358openalex-snapshot
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
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A New Parametrization of Correlation Matrices
inferredcites →https://doi.org/10.5283/epub.29687openalex-snapshot
Matrix Box-Cox Models for Multivariate Realized Volatility

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Two Sided Efficient Frontiers at Multiple Time Horizons
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Dynamic Conditional Correlation Models with Time-Varying Parameters Incorporating for Realized Covariance Matrices
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Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
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Probability distributions for realized covariance measures
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Bayesian Regularized Regression Copula Processes for Multivariate Responses
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Less Heuristic Approximate Local Fit Evaluation in Structural Equation Models
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Dynamic Spectral Conditional Correlations
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Permutation-Invariant Log-Euclidean Geometries on Full-Rank Correlation Matrices
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