A new method for generating random correlation matrices
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- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
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- Ilya Archakov & Peter Reinhard Hansen, 2021.
"A New Parametrization of Correlation Matrices,"
Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
- Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
- Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
- Joe, Harry, 2006. "Generating random correlation matrices based on partial correlations," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2177-2189, November.
- Linton, Oliver & McCrorie, J. Roderick, 1995. "Differentiation of an Exponential Matrix Function," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1182-1185, October.
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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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Keywords
Random correlation matrix; Fisher transformation; covariance modelling;All these keywords.
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