3 citations · 5 across the 2 of their papers we have counts for
3 papers
econ.EM2022★ 3 cited
A New Method for Generating Random Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen, Yiyao Luo
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, g…
q-fin.TR2021★ 2 cited
Periodicity in Cryptocurrency Volatility and Liquidity
Peter Reinhard Hansen, Chan Kim, Wade Kimbrough
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decen…
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…