Universität zu Köln

Teng, Long, Wu, Xueran, Guenther, Michael and Ehrhardt, Matthias (2020). A new methodology to create valid time-dependent correlation matrices via isospectral flows. ESAIM-Math. Model. Numer. Anal.-Model. Math. Anal. Numer., 54 (2). S. 361 - 372. LES ULIS CEDEX A: EDP SCIENCES S A. ISSN 1290-3841

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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.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Teng, Long UNSPECIFIED UNSPECIFIED UNSPECIFIED Wu, Xueran UNSPECIFIED UNSPECIFIED UNSPECIFIED Guenther, Michael UNSPECIFIED UNSPECIFIED UNSPECIFIED Ehrhardt, Matthias UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-344905
DOI:	10.1051/m2an/2019064
Journal or Publication Title:	ESAIM-Math. Model. Numer. Anal.-Model. Math. Anal. Numer.
Volume:	54
Number:	2
Page Range:	S. 361 - 372
Date:	2020
Publisher:	EDP SCIENCES S A
Place of Publication:	LES ULIS CEDEX A
ISSN:	1290-3841
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language Mathematics, Applied Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/34490