This is a preview. Log in through your library . Abstract Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of ...

We study the large-sample joint distribution of Z, the 1/2p(p - 1) Fisher z-transforms of the elements in a p variable correlation matrix. Under the null hypothesis of equal population correlations ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...