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A New Parametrization of Correlation Matrices

Citations

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Cited by:

  1. K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023. "Principal Component Copulas for Capital Modelling and Systemic Risk," Papers 2312.13195, arXiv.org, revised Jul 2025.
  2. Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
  3. Archakov, Ilya & Hansen, Peter Reinhard & Lunde, Asger, 2026. "A multivariate realized GARCH model," Journal of Econometrics, Elsevier, vol. 254(PA).
  4. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2026. "Cluster GARCH," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 148-161, January.
    • Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
  5. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
  6. Etienne Wijler & Andre Lucas, 2025. "An Impartial Look at Asset Correlation Stability and Market Structure," Tinbergen Institute Discussion Papers 25-051/III, Tinbergen Institute.
  7. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.
  8. Chen, Han & Fei, Yijie & Yu, Jun, 2025. "Multivariate stochastic volatility models based on generalized Fisher transformation," Journal of Econometrics, Elsevier, vol. 251(C).
  9. D’Innocenzo, Enzo & Lucas, Andre, 2024. "Dynamic partial correlation models," Journal of Econometrics, Elsevier, vol. 241(2).
  10. Xinxian Chen & Peter Reinhard Hansen & Chen Tong, 2026. "Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity," Papers 2607.03669, arXiv.org.
  11. Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
  12. Ilya Archakov, 2026. "A Robust Similarity Estimator," Papers 2601.12198, arXiv.org, revised Jul 2026.
  13. Koos B. Gubbels & Andre Lucas, 2026. "Spectral Dynamics and Regularization for High-Dimensional Copulas," Papers 2601.13281, arXiv.org.
  14. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
  15. Hugo Gobato Souto & Amir Moradi, 2026. "Enhancing financial risk management: a novel multivariate neural network approach for realized covariance matrix prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-26, December.
  16. Ayed Alwadain & Rao Faizan Ali & Amgad Muneer, 2023. "Estimating Financial Fraud through Transaction-Level Features and Machine Learning," Mathematics, MDPI, vol. 11(5), pages 1-15, February.
  17. Joe, Harry & Kurowicka, Dorota, 2026. "Random correlation matrices generated via partial correlation C-vines," Journal of Multivariate Analysis, Elsevier, vol. 211(C).
  18. Stollenwerk, Michael, 2026. "Probability distributions for realized covariance measures," Journal of Econometrics, Elsevier, vol. 254(PA).
  19. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023. "Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
  20. Han Chen & Yijie Fei & Jun Yu, 2026. "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers 202638, University of Macau, Faculty of Business Administration.
  21. Chen Tong & Peter Reinhard Hansen, 2025. "Dynamic Factor Correlation Model," Papers 2503.01080, arXiv.org.
  22. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2026. "Are Fiscal Transfers Inflationary?," Working Papers 26-23, Federal Reserve Bank of Philadelphia.
  23. Tong, Chen & Hansen, Peter Reinhard, 2023. "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, vol. 233(C).
  24. Ilya Archakov & Peter Reinhard Hansen, 2024. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1099-1113, July.
  25. Dilip B. Madan & King Wang, 2022. "Two sided efficient frontiers at multiple time horizons," Annals of Finance, Springer, vol. 18(3), pages 327-353, September.
  26. Ilya Archakov & Peter Reinhard Hansen, 2026. "The Generalized Fisher Transformation: Finite-Sample Properties and Inference," Papers 2606.13864, arXiv.org.
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