• Modelling asset correlations: A nonparametric approach 

      Aslanidis, Nektarios; Casas, Isabel
      Published 2011-01-01
      This article proposes a time-varying nonparametric estimator and a time-varying semiparametric estimator of the correlation matrix. We discuss representation, estimation based on kernel smoothing and inference. An extensive ...
      Open Access
      Working Paper