Clements, Adam E; Coleman-Fenn, Christopher A; Smith, … - National Centre for Econometric Research (NCER) - 2011
We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets. Building on the existing Dynamic Conditional Correlation and Linear Dynamic Equicorrelation models, we propose a model that...