TY  - JOUR
AU  - Teng, Long
AU  - Wu, Xueran
AU  - Günther, Michael
AU  - Ehrhardt, Matthias
TI  - A new methodology to create valid time-dependent correlation matrices via isospectral flows
JO  - Mathematical modelling and numerical analysis
VL  - 54
IS  - 2
SN  - 1290-3841
CY  - Les Ulis
PB  - EDP Sciences
M1  - FZJ-2021-01764
SP  - 361 - 371
PY  - 2020
N1  - Kein Post-Print vorhanden
AB  - 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.
LB  - PUB:(DE-HGF)16
UR  - <Go to ISI:>//WOS:000514606800001
DO  - DOI:10.1051/m2an/2019064
UR  - https://juser.fz-juelich.de/record/891841
ER  -