%0 Journal Article
%A Teng, Long
%A Wu, Xueran
%A Günther, Michael
%A Ehrhardt, Matthias
%T A new methodology to create valid time-dependent correlation matrices via isospectral flows
%J Mathematical modelling and numerical analysis
%V 54
%N 2
%@ 1290-3841
%C Les Ulis
%I EDP Sciences
%M FZJ-2021-01764
%P 361 - 371
%D 2020
%Z Kein Post-Print vorhanden
%X 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.
%F PUB:(DE-HGF)16
%9 Journal Article
%U <Go to ISI:>//WOS:000514606800001
%R 10.1051/m2an/2019064
%U https://juser.fz-juelich.de/record/891841