Econometrica

A New Parametrization of Correlation Matrices

Archakov, Ilya, and Peter Reinhard Hansen




Supplemental Material

Supplement to "A New Parametrization of Correlation Matrices"

This zip file contains the replication files for the manuscript.

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Supplement to "A New Parametrization of Correlation Matrices"

This is a web appendix with supplementary material for the paper “A New Parametrization of Correlation Matrices” by Archakov and Hansen (2020). Here, we present four sets of results: 1) The finite sample properties of γˆ when C has a Toeplitz structure. 2) The finite sample properties of γˆ when C has general (randomly generated) structure. 3) The Jacobian ∂ρ/∂γ for two correlation matrices. One with a Toeplitz structure, and one based on the empirical correlation matrix for returns on 10 industry portfolios. 4) Software implementations of C(γ), that reconstructs C from γ for Julia, Matlab, Ox, Python, and R.

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