Tagged Questions
4
votes
0answers
89 views
Rolling window Kendall's tau against APARCH(1,1) correlation
Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
3
votes
1answer
208 views
Does the correlation amongst stocks rise when stock values decline?
Is there any research on whether the correlations among stocks rise when stock indices decline? Which model could account and test for that effect ? Maybe GARCH-BEKK, or some models using copulas?
8
votes
2answers
574 views
Analytical relationship between a covariance matrix and cross-sectional dispersion
Given an expected returns vector and a covariance matrix, one can perform a joint draw and measure the average cross-sectional variation as the standard deviation across returns for a particular joint ...
9
votes
1answer
432 views
One dimensional analog of cleansing a correlation matrix via random matrix theory
The general idea of cleansing a correlation matrix via random matrix theory is to compare its eigenvalues to that of a random one to see which parts of it are beyond normal randomness. These are then ...
