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@ARTICLE{Teng:891841,
      author       = {Teng, Long and Wu, Xueran and Günther, Michael and
                      Ehrhardt, Matthias},
      title        = {{A} new methodology to create valid time-dependent
                      correlation matrices via isospectral flows},
      journal      = {Mathematical modelling and numerical analysis},
      volume       = {54},
      number       = {2},
      issn         = {1290-3841},
      address      = {Les Ulis},
      publisher    = {EDP Sciences},
      reportid     = {FZJ-2021-01764},
      pages        = {361 - 371},
      year         = {2020},
      note         = {Kein Post-Print vorhanden},
      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.},
      cin          = {IEK-8},
      ddc          = {510},
      cid          = {I:(DE-Juel1)IEK-8-20101013},
      pnm          = {243 - Tropospheric trace substances and their
                      transformation processes (POF3-243)},
      pid          = {G:(DE-HGF)POF3-243},
      typ          = {PUB:(DE-HGF)16},
      UT           = {WOS:000514606800001},
      doi          = {10.1051/m2an/2019064},
      url          = {https://juser.fz-juelich.de/record/891841},
}