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000891841 1001_ $$0P:(DE-HGF)0$$aTeng, Long$$b0$$eCorresponding author
000891841 245__ $$aA new methodology to create valid time-dependent correlation matrices via isospectral flows
000891841 260__ $$aLes Ulis$$bEDP Sciences$$c2020
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000891841 520__ $$aIn many areas of finance and of risk management it is interesting to know how to specify time-dependent correlation matrices. In this work we propose a new methodology to create valid time-dependent instantaneous correlation matrices, which we called correlation flows. In our methodology one needs only an initial correlation matrix to create these correlation flows based on isospectral flows. The tendency of the time-dependent matrices can be controlled by requirements. An application example is presented to illustrate our methodology.
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000891841 7001_ $$0P:(DE-Juel1)166191$$aWu, Xueran$$b1$$ufzj
000891841 7001_ $$0P:(DE-HGF)0$$aGünther, Michael$$b2
000891841 7001_ $$0P:(DE-HGF)0$$aEhrhardt, Matthias$$b3
000891841 773__ $$0PERI:(DE-600)1485131-3$$a10.1051/m2an/2019064$$gVol. 54, no. 2, p. 361 - 371$$n2$$p361 - 371$$tMathematical modelling and numerical analysis$$v54$$x1290-3841$$y2020
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