4 papers · 1 filter
Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity
Xinxian Chen, Peter Reinhard Hansen, Chen Tong
We propose the Split-Session Cluster GARCH model for heavy-tailed multivariate dependence among asset returns decomposed into overnight and intraday components. The model uses conv…
Principled Identification of Structural Dynamic Models
Neville Francis, Peter Reinhard Hansen, Chen Tong
We take a new perspective on identification in structural dynamic models: rather than imposing restrictions alone, we optimize an objective. While definitive structural identificat…
Dynamic Factor Correlation Model
Chen Tong, Peter Reinhard Hansen
We introduce a new dynamic factor correlation model with a novel variation-free parametrization of factor loadings. The model is applicable to high dimensions and can accommodate t…
Characterizing Correlation Matrices that Admit a Clustered Factor Representation
Chen Tong, Peter Reinhard Hansen
The Clustered Factor (CF) model induces a block structure on the correlation matrix and is commonly used to parameterize correlation matrices. Our results reveal that the CF model…