Modeling Dynamic Correlation Matrices with Shrinkage Priors

By Daniel Andrew Coulson, David S. Matteson, Martin T. Wells

Published 2026-05-07

Everscope rating

1703.2

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: DSP-MFSV-CAPM. Problem types: Time Series Forecasting, Risk Management, Portfolio Optimization, Density Estimation, Dimensionality Reduction.

arXiv:2605.06818 · Code · Paper rankings

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