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| Hauptseite > Publikationsdatenbank > A new methodology to create valid time-dependent correlation matrices via isospectral flows > print |
| Hauptseite > Publikationsdatenbank > A new methodology to create valid time-dependent correlation matrices via isospectral flows > print |
| 001 | 891841 | ||
| 005 | 20240709081823.0 | ||
| 024 | 7 | _ | |a 10.1051/m2an/2019064 |2 doi |
| 024 | 7 | _ | |a 0764-583X |2 ISSN |
| 024 | 7 | _ | |a 1290-3841 |2 ISSN |
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| 037 | _ | _ | |a FZJ-2021-01764 |
| 082 | _ | _ | |a 510 |
| 100 | 1 | _ | |a Teng, Long |0 P:(DE-HGF)0 |b 0 |e Corresponding author |
| 245 | _ | _ | |a A new methodology to create valid time-dependent correlation matrices via isospectral flows |
| 260 | _ | _ | |a Les Ulis |c 2020 |b EDP Sciences |
| 336 | 7 | _ | |a article |2 DRIVER |
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| 336 | 7 | _ | |a Journal Article |b journal |m journal |0 PUB:(DE-HGF)16 |s 1620113177_1301 |2 PUB:(DE-HGF) |
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| 500 | _ | _ | |a Kein Post-Print vorhanden |
| 520 | _ | _ | |a 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. |
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| 700 | 1 | _ | |a Wu, Xueran |0 P:(DE-Juel1)166191 |b 1 |u fzj |
| 700 | 1 | _ | |a Günther, Michael |0 P:(DE-HGF)0 |b 2 |
| 700 | 1 | _ | |a Ehrhardt, Matthias |0 P:(DE-HGF)0 |b 3 |
| 773 | _ | _ | |a 10.1051/m2an/2019064 |g Vol. 54, no. 2, p. 361 - 371 |0 PERI:(DE-600)1485131-3 |n 2 |p 361 - 371 |t Mathematical modelling and numerical analysis |v 54 |y 2020 |x 1290-3841 |
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