no code implementations • 30 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.
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.