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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hüttner, A.; Mai, J-F.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
Random correlation matrix; Perron-Frobenius property; Bendel-Mickey algorithm; eigenvalues
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Statistical Computation and Simulation
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Volltext / DOI:
doi:10.1080/00949655.2018.1546861
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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