Advanced Search
MyIDEAS: Login to save this article or follow this journal

Dynamic Modeling Of High-Dimensional Correlation Matrices In Finance


Author Info


    (Institute of Statistics and Econometrics, CAU Kiel, Olshausenstr. 40, Kiel 24118, Germany)


    (Institute of Statistics and Econometrics, CAU Kiel, Olshausenstr. 40, Kiel 24118, Germany)


A class of dynamic factor and dynamic panel models is proposed for daily high dimensional correlation matrices of asset returns. These flexible semiparametric predictors process ultra high frequency information and allow to exploit both realized correlation matrices and exogenous factors for forecasting purposes. The Fisher-z transformation offers the transmission from (factor and panel) time series models operating on unrestricted random variables to bounded correlation forecasts. Our methodology is contrasted with prominent alternative correlation models. Based on economic performance criteria dynamic factor models turn out to carry the highest predictive content.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: Access to full text is restricted to subscribers.

File URL:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 15 (2012)
Issue (Month): 05 ()
Pages: 1250035-1-1250035-22

as in new window
Handle: RePEc:wsi:ijtafx:v:15:y:2012:i:05:p:1250035-1-1250035-22

Contact details of provider:
Web page:

Order Information:

Related research

Keywords: Dynamic panel model; dynamic factor model; Fisher-z transformation; realized correlations;


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Weigand, Roland, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems 478, University of Regensburg, Department of Economics.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:15:y:2012:i:05:p:1250035-1-1250035-22. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.