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A Reduced Rank Model for Conditional Correlations

发布时间:2018-03-08 作者: 浏览次数:
Speaker:江惠 DateTime:2018年3月9日(周五)下午3:00-4:00
Brief Introduction to Speaker:
江惠博士,华中科技大学
Place:六号楼二楼报告厅
Abstract:Modeling and estimation of correlation coefficient is a fundamental step in risk management. Because of the serial dependence and small signal-to-noise ratio, patterns of the dependence in the data cannotbe easily detected and modeled. This paper introduces a common factor analysis into the conditional correlation coefficients to extract the features of dependence. While statistical properties are thoroughly derived, extensive empirical analysis provides us with common patterns for the conditional correlation coefficients that give new insight into a number of important questions in financial data, especially the asymmetry of cross-correlations and the factors that drive the cross-correlations.