Matches in SemOpenAlex for { <https://semopenalex.org/work/W3204152613> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W3204152613 endingPage "105176" @default.
- W3204152613 startingPage "105176" @default.
- W3204152613 abstract "This paper proposes a new model for the dynamics of correlation matrices, where the dynamics are driven by the likelihood score with respect to the matrix logarithm of the correlation matrix. In analogy to the exponential GARCH model for volatility, this transformation ensures that the correlation matrices remain positive definite, even in high dimensions. For the conditional distribution of returns, we assume a student-t copula to explain the dependence structure and univariate student-t for the marginals with potentially different degrees of freedom. The separation into volatility and correlation parts allows for a two-step estimation, which facilitates estimation in high dimensions. We derive estimation theory for one-step and two-step estimation. In an application to a set of six asset indices including financial and alternative assets we show that the model performs well in terms of diagnostics, specification tests, and out-of-sample forecasting." @default.
- W3204152613 created "2021-10-11" @default.
- W3204152613 creator A5002692390 @default.
- W3204152613 creator A5044631982 @default.
- W3204152613 date "2021-10-01" @default.
- W3204152613 modified "2023-09-25" @default.
- W3204152613 title "A dynamic conditional score model for the log correlation matrix" @default.
- W3204152613 cites W1727659491 @default.
- W3204152613 cites W1885451613 @default.
- W3204152613 cites W1972882514 @default.
- W3204152613 cites W1999814123 @default.
- W3204152613 cites W2033559346 @default.
- W3204152613 cites W2063986268 @default.
- W3204152613 cites W2073879263 @default.
- W3204152613 cites W2078262781 @default.
- W3204152613 cites W2086546462 @default.
- W3204152613 cites W2110362222 @default.
- W3204152613 cites W2112339981 @default.
- W3204152613 cites W2127958806 @default.
- W3204152613 cites W2153947535 @default.
- W3204152613 cites W2204730588 @default.
- W3204152613 cites W2258453415 @default.
- W3204152613 cites W2530684420 @default.
- W3204152613 cites W2795551782 @default.
- W3204152613 cites W2997880915 @default.
- W3204152613 cites W3022253700 @default.
- W3204152613 cites W3078274016 @default.
- W3204152613 cites W3098826229 @default.
- W3204152613 cites W3100397703 @default.
- W3204152613 cites W3125564657 @default.
- W3204152613 cites W3185851089 @default.
- W3204152613 doi "https://doi.org/10.1016/j.jeconom.2021.09.004" @default.
- W3204152613 hasPublicationYear "2021" @default.
- W3204152613 type Work @default.
- W3204152613 sameAs 3204152613 @default.
- W3204152613 citedByCount "1" @default.
- W3204152613 countsByYear W32041526132023 @default.
- W3204152613 crossrefType "journal-article" @default.
- W3204152613 hasAuthorship W3204152613A5002692390 @default.
- W3204152613 hasAuthorship W3204152613A5044631982 @default.
- W3204152613 hasBestOaLocation W32041526132 @default.
- W3204152613 hasConcept C105795698 @default.
- W3204152613 hasConcept C117220453 @default.
- W3204152613 hasConcept C118671147 @default.
- W3204152613 hasConcept C134306372 @default.
- W3204152613 hasConcept C149782125 @default.
- W3204152613 hasConcept C161584116 @default.
- W3204152613 hasConcept C17618745 @default.
- W3204152613 hasConcept C199163554 @default.
- W3204152613 hasConcept C23922673 @default.
- W3204152613 hasConcept C2524010 @default.
- W3204152613 hasConcept C28826006 @default.
- W3204152613 hasConcept C33923547 @default.
- W3204152613 hasConcept C39927690 @default.
- W3204152613 hasConcept C91602232 @default.
- W3204152613 hasConceptScore W3204152613C105795698 @default.
- W3204152613 hasConceptScore W3204152613C117220453 @default.
- W3204152613 hasConceptScore W3204152613C118671147 @default.
- W3204152613 hasConceptScore W3204152613C134306372 @default.
- W3204152613 hasConceptScore W3204152613C149782125 @default.
- W3204152613 hasConceptScore W3204152613C161584116 @default.
- W3204152613 hasConceptScore W3204152613C17618745 @default.
- W3204152613 hasConceptScore W3204152613C199163554 @default.
- W3204152613 hasConceptScore W3204152613C23922673 @default.
- W3204152613 hasConceptScore W3204152613C2524010 @default.
- W3204152613 hasConceptScore W3204152613C28826006 @default.
- W3204152613 hasConceptScore W3204152613C33923547 @default.
- W3204152613 hasConceptScore W3204152613C39927690 @default.
- W3204152613 hasConceptScore W3204152613C91602232 @default.
- W3204152613 hasFunder F4320321454 @default.
- W3204152613 hasFunder F4320334704 @default.
- W3204152613 hasLocation W32041526131 @default.
- W3204152613 hasLocation W32041526132 @default.
- W3204152613 hasOpenAccess W3204152613 @default.
- W3204152613 hasPrimaryLocation W32041526131 @default.
- W3204152613 hasRelatedWork W1537702958 @default.
- W3204152613 hasRelatedWork W1562938821 @default.
- W3204152613 hasRelatedWork W1583873830 @default.
- W3204152613 hasRelatedWork W1589045508 @default.
- W3204152613 hasRelatedWork W1978246203 @default.
- W3204152613 hasRelatedWork W2490145926 @default.
- W3204152613 hasRelatedWork W2529246537 @default.
- W3204152613 hasRelatedWork W2884387179 @default.
- W3204152613 hasRelatedWork W3121245432 @default.
- W3204152613 hasRelatedWork W3124589817 @default.
- W3204152613 isParatext "false" @default.
- W3204152613 isRetracted "false" @default.
- W3204152613 magId "3204152613" @default.
- W3204152613 workType "article" @default.