10 citations · 16 across the 6 of their papers we have counts for
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econ.EM2020
A New Parametrization of Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen
We introduce a novel parametrization of the correlation matrix. The reparametrization facilitates modeling of correlation and covariance matrices by an unrestricted vector, where p…
econ.EM2020★ 10 cited
A Multivariate Realized GARCH Model
Ilya Archakov, Peter Reinhard Hansen, Asger Lunde
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrizati…
econ.EM2020★ 3 cited
A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen
We obtain a canonical representation for block matrices. The representation facilitates simple computation of the determinant, the matrix inverse, and other powers of a block matri…