21-083/IV - Dynamic Conditional Correlations with Partial Information Pooling

• Authors
  Bram van Os, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
• Publication date
  September 16, 2021

• Keywords
  Dynamic Equicorrelation, High-dimensional covariance matrices, Covariance shrinkage, Minimum-variance portfolio
• JEL
  C53, C58, C32