We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

We study identification and estimation of the average treatment effect in a correlated random coefficients model that …

distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …

correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected … credit loss. We propose and empirically implement estimation of the model based on aggregate and exposure level Moody …'s default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We …

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation … parameters. Differently from the traditional two-step DCC estimation, we get large system feasibility of the joint estimation of …

robust estimation of the cross-correlations by extending some popular robust estimators of pairwise correlations and …

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and …