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Document type:
Zeitschriftenaufsatz 
Author(s):
Hüttner, A.; Mai, J-F. 
Title:
Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property 
Abstract:
This article is concerned with the simulation of correlation matrices with realistic properties for financial applications. Previous studies found that the major part of observed correlation matrices in financial applications exhibits the Perron-Frobenius property, namely a dominant eigenvector with only positive entries. We present a simulation algorithm for random correlation matrices satisfying this property, which can be augmented to take into account a realistic eigenvalue structure. From t...    »
 
Keywords:
Random correlation matrix; Perron-Frobenius property; Bendel-Mickey algorithm; eigenvalues 
Journal title:
Journal of Statistical Computation and Simulation 
Year:
2018