no code implementations • 15 Oct 2022 • Ilya Archakov, Peter Reinhard Hansen, Yiyao Luo
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion.
no code implementations • 4 Dec 2020 • Ilya Archakov, Peter Reinhard Hansen, Asger Lunde
We propose a novel class of multivariate GARCH models that utilize realized measures of volatilities and correlations.
no code implementations • 4 Dec 2020 • Ilya Archakov, Peter Reinhard Hansen
We obtain a canonical representation for block matrices.
no code implementations • 4 Dec 2020 • Ilya Archakov, Peter Reinhard Hansen
We introduce a novel parametrization of the correlation matrix.
