Yongli Zhang, Craig Rolling, Yuhong Yang. Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach. J. Multivariate Analysis, 183:104710, 2021. [doi]
@article{ZhangRY21,
title = {Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach},
author = {Yongli Zhang and Craig Rolling and Yuhong Yang},
year = {2021},
doi = {10.1016/j.jmva.2020.104710},
url = {https://doi.org/10.1016/j.jmva.2020.104710},
researchr = {https://researchr.org/publication/ZhangRY21},
cites = {0},
citedby = {0},
journal = {J. Multivariate Analysis},
volume = {183},
pages = {104710},
}