Search Results for author: Yiyao Luo

Found 2 papers, 0 papers with code

Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas

no code implementations30 Oct 2023 Peter Reinhard Hansen, Yiyao Luo

Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent.

Time Series

A New Method for Generating Random Correlation Matrices

no code implementations15 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.

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