Chen Tong, Peter Reinhard Hansen
arXiv 11 Aug 2023 · Econometrics · publishedEconomics Letters (2023) · 3 citations (OpenAlex)
arXiv:2308.05895 · PDF · DOI · OpenAlex · Extracted main text
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices. Our results reveal that the CF model imposes superfluous restrictions on the correlation matrix. This can be avoided by a different parametrization, involving the logarithmic transformation of the block correlation matrix.
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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, I. and Hansen, P. R (2023) A canonical representation of block matrices with applications to covariance and correlation matrices self | 1.000 | 6 | 3 | 100% |
| 2 | Archakov, I. and Hansen, P. R (2021) A new parametrization of correlation matrices self | 0.644 | 2 | 2 | 100% |
| 3 | Archakov, I., Hansen, P. R., and Lunde, A (2020) A multivariate Realized GARCH model self | 0.405 | 1 | 1 | 100% |
| 4 | Creal, D. and Kim, J (2022) Bayesian estimation of block covariance matrices | 0.405 | 1 | 1 | 100% |
| 5 | Creal, D. and Tsay, R. S (2015) High dimensional dynamic stochastic copula models | 0.405 | 1 | 1 | 100% |
| 6 | Hansen, P. R., Lunde, A., and Nason, J. M (2011) The model confidence set self | 0.405 | 1 | 1 | 100% |
| 7 | Johansen, S (1988) Statistical analysis of cointegration vectors | 0.405 | 1 | 1 | 100% |
| 8 | Johansen, S (1991) Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models | 0.405 | 1 | 1 | 100% |
| 9 | Krupskii, P. and Joe, H (2013) Factor copula models for multivariate data | 0.405 | 1 | 1 | 100% |
| 10 | Krupskii, P. and Joe, H (2015) Structured factor copula models: Theory, inference and computation | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 17 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Cluster GARCH | 0.405 | 1 | 1 |
| 2 | Dynamic Factor Correlation Model | 0.405 | 1 | 1 |
| 3 | Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity | 0.405 | 1 | 1 |