Characterizing correlation matrices that admit a clustered factor representation
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DOI: 10.1016/j.econlet.2023.111433
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- Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
References listed on IDEAS
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Cited by:
- Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
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More about this item
Keywords
Block correlation matrix; Copula; Clustering; Factor models;All these keywords.
JEL classification:
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
Statistics
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