A Bayesian dynamic factor model with shrinkage priors achieves posterior contraction for time-varying correlations and introduces a total correlation scalar for dependence.
[1965b], ‘The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets’,The Review of Economics and Statistics 47(1), 13–37
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Modeling Dynamic Correlation Matrices with Shrinkage Priors
A Bayesian dynamic factor model with shrinkage priors achieves posterior contraction for time-varying correlations and introduces a total correlation scalar for dependence.