On May 20-21, 2022 I attended the NESG Conference 2022 in Groningen (Netherlands) and I was glad to take part in the poster session with the poster ‘Dynamic Partial Correlation Models’, that I co-authored together with André Lucas.
You can see the full poster here and you’re very welcome to leave a comment below to let us know what you think about our work. In the study we propose to parameterize the correlation matrix using a sequence of partial correlations which are built recursively from previous partial correlations and pairwise correlations using the so called D-vine copula structure.
A great advantage of this parameterization is that we only have to consider bivariate relationships since partial correlation processes can be specified separately, providing a new family of very flexible multivariate dynamic models. The method is easily scalable to higher dimensions without loosing computational stability, and allows for a much simplified asymptotic analysis of the process and
the maximum likelihood estimator.
The Netherlands Econometric Study Group (NESG) is a yearly conference that provides a gathering point for econometricians from the Netherlands (and beyond) where research ideas and developments on theoretical and applied econometrics can be shared and discussed.