A Reduced Rank Model for Conditional Correlations
时间：2018-03-08 作者： 点击：
||A Reduced Rank Model for Conditional Correlations
||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.
|Brief Introduction to Speaker