Dynamic modeling of high-dimensional correlation matrices in finance
Vasyl Golosnoy and Helmut Herwartz
| Year of publication: |
2012
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|---|---|
| Authors: | Golosnoy, Vasyl ; Herwartz, Helmut |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 5, p. 1-22
|
| Subject: | Dynamic panel model | dynamic factor model | Fisher-z transformation | realized correlations | Korrelation | Correlation | Dynamische Wirtschaftstheorie | Economic dynamics | Panel | Panel study | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009672608