4 papers · 1 filter
The Generalized Fisher Transformation: Finite-Sample Properties and Inference
Ilya Archakov, Peter Reinhard Hansen
We study the finite-sample behavior of the Generalized Fisher Transformation (GFT), the parametrization of a correlation matrix by . The GFT co…
A Robust Similarity Estimator
Ilya Archakov
We analyze a measure of statistical association based on the similarity of the outcomes of random variables, in both sign and magnitude. Motivated by its attractive properties, we…
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…
Cluster GARCH
Chen Tong, Peter Reinhard Hansen, Ilya Archakov
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it…