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Title:

Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property

Document type:
Zeitschriftenaufsatz
Author(s):
Hüttner, A.; Mai, J-F.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Statistical Computation and Simulation
Journal listet in FT50 ranking:
nein
Year:
2018
Fulltext / DOI:
doi:10.1080/00949655.2018.1546861
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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