DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE
Year of publication: |
2012
|
---|---|
Authors: | GOLOSNOY, VASYL ; HERWARTZ, HELMUT |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 05, p. 1250035-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Dynamic panel model | dynamic factor model | Fisher-z transformation | realized correlations |
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