Ilya Archakov, Peter Reinhard Hansen
arXiv 4 Dec 2020 · Econometrics · publishedEconometrica (2021) · 3 citations (OpenAlex)
arXiv:2012.02395 · PDF · DOI · OpenAlex · Extracted main text
We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where positive definiteness is an innate property. This parametrization can be viewed as a generalization of Fisther's Z-transformation to higher dimensions and has a wide range of potential applications. An algorithm for reconstructing the unique n x n correlation matrix from any d-dimensional vector (with d = n(n-1)/2) is provided, and we derive its numerical complexity.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Archakov, Hansen \ Lunde (2020) `A Multivariate Realized GARCH Model', Working Paper | 0.843 | 3 | 3 | 100% |
| 2 | Linton \ McCrorie (1995) `Differentiation of an exponential matrix function: Solution', Econometric Theory 11, 1182–1185 | 0.511 | 2 | 2 | 50% |
| 3 | Archakov \ Hansen (2020) `Web-appendix for: A New Parametrization of Correlation Matrices', https://sites.google.com/site/peterreinhardhansen/ | 0.405 | 1 | 1 | 100% |
| 4 | Asai \ So (2015) `Long memory and asymmetry for matrix-exponential dynamic correlation processes', Journal of Time Series Econometrics 7, 69–74 | 0.405 | 1 | 1 | 100% |
| 5 | Bauer \ Vorkink (2011) `Forecasting multivariate realized stock market volatility', Journal of Econometrics 160, 93–101 | 0.405 | 1 | 1 | 100% |
| 6 | Bauwens, Storti \ Violante (2012) `Dynamic conditional correlation models for realized covariance matrices', Working Paper (2012060) | 0.405 | 1 | 1 | 100% |
| 7 | Bollerslev (1990) `Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model', The Review of Economics an… | 0.405 | 1 | 1 | 100% |
| 8 | Browne \ Shapiro (1986) `The asymptotic covariance matrix of sample correlation coefficients under general conditions', Linear Algebra and its Applicati… | 0.405 | 1 | 1 | 100% |
| 9 | Chiriac \ Voev (2011) `Modelling and forecasting multivariate realized volatility', Journal of Applied Econometrics 26, 922–947 | 0.405 | 1 | 1 | 100% |
| 10 | Chiu, Leonard \ Tsui (1996) `The matrix-logarithmic covariance model', Journal of the American Statistical Association 91, 198–210 | 0.405 | 1 | 1 | 100% |
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