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Correlation matrix
Posted: February 25th, 2003, 1:31 pm
by Bomba
Anyone knows a method to apply perturbations to a correlation matrix, preserving the positive definiteness of the matrix and hopefully very low time consuming ? Thanks
Correlation matrix
Posted: February 25th, 2003, 3:38 pm
by Nonius
send me a PM.
Correlation matrix
Posted: February 26th, 2003, 2:47 am
by tubul
There was a paper on this in the RiskMetrics Monitor (1997, 4th Quarter). Here it is:Regards,Tubul
Correlation matrix
Posted: February 26th, 2003, 2:48 am
by tubul
Sorry about that. I think I got it this time.Regards,Tubul
Correlation matrix
Posted: February 26th, 2003, 7:05 am
by Silvershark
Bomba,Have a look at Peter Jäckel's book "Monte carlo methods in finance". Theres a chapter devoted to the subject.Regards,
Correlation matrix
Posted: February 26th, 2003, 3:18 pm
by Bomba
Well , thank you all.