Journal Article

FZJ-2021-01764

http://join2-wiki.gsi.de/foswiki/pub/Main/Artwork/join2_logo100x88.png A new methodology to create valid time-dependent correlation matrices via isospectral flows

Teng, L. (Corresponding author) ; Wu, X.FZJ* ; Günther, M. ; Ehrhardt, M.

2020
EDP Sciences Les Ulis

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Please use a persistent id in citations: doi:10.1051/m2an/2019064

Abstract: In many areas of finance and of risk management it is interesting to know how to specify time-dependent correlation matrices. In this work we propose a new methodology to create valid time-dependent instantaneous correlation matrices, which we called correlation flows. In our methodology one needs only an initial correlation matrix to create these correlation flows based on isospectral flows. The tendency of the time-dependent matrices can be controlled by requirements. An application example is presented to illustrate our methodology.

Note: Kein Post-Print vorhanden

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Contributing Institute(s):

1. Troposphäre (IEK-8)

Research Program(s):

1. 243 - Tropospheric trace substances and their transformation processes (POF3-243) (POF3-243)

Appears in the scientific report 2020

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Database coverage:
; Allianz-Lizenz / DFG ; Clarivate Analytics Master Journal List ; Current Contents - Physical, Chemical and Earth Sciences ; Ebsco Academic Search ; Essential Science Indicators ; IF < 5 ; JCR ; Nationallizenz ; SCOPUS ; Science Citation Index Expanded ; Web of Science Core Collection

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