Dynamic Equicorrelation
Dynamic Equicorrelation
About this item
Full title
Author / Creator
Publisher
Alexandria: Taylor & Francis Group
Journal title
Language
English
Formats
Publication information
Publisher
Alexandria: Taylor & Francis Group
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Scope and Contents
Contents
A new covariance matrix estimator is proposed under the assumption that at every time period all pairwise correlations are equal. This assumption, which is pragmatically applied in various areas of finance, makes it possible to estimate arbitrarily large covariance matrices with ease. The model, called DECO, involves first adjusting for individual...
Alternative Titles
Full title
Dynamic Equicorrelation
Authors, Artists and Contributors
Author / Creator
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Primary Identifiers
Record Identifier
TN_cdi_crossref_primary_10_1080_07350015_2011_652048
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_07350015_2011_652048
Other Identifiers
ISSN
0735-0015
E-ISSN
1537-2707
DOI
10.1080/07350015.2011.652048
