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Rank reduction of correlation matrics by majorization
Pietersz, Raoul (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001989947
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Efficient Rank Reduction of Correlation Matrices
Grubisic, Igor; Pietersz, Raoul - 2012
Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show … nearest low-rank correlation matrix occurs as part of the calibration of multi-factor interest rate market models to … correlation. Keywords: geometric optimisation, correlation matrix, Rank, LIBOR market model …
Persistent link: https://www.econbiz.de/10014059699
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Deriving correlation matrices for missing financial time-series data
Burger, Schalk; Silverman, Searle; Van Vuuren, Gary - In: International journal of economics and finance 10 (2018) 10, pp. 105-120
Persistent link: https://www.econbiz.de/10011944933
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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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A note on the impact of parameter uncertainty on barrier derivatives
Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25
This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...
Persistent link: https://www.econbiz.de/10011556565
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Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard; Glasserman, Paul - In: Quantitative finance 19 (2019) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
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Currency futures market in India : an empirical analysis of market efficiency and volatility
Nath, Golak Bihari; Pacheco, Manoel - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 47-84
Persistent link: https://www.econbiz.de/10011974206
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Deriving consensus rankings via multicriteria decision making methodology
Ling, Amy Poh Ai; Mohamad Nasir Saludin; Mukaidono, Masao - In: Business strategy series 13 (2012) 1, pp. 3-12
Persistent link: https://www.econbiz.de/10009487341
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Derivation of a maximum rank sum statistic and application to discriminant analysis
Wang, Chiang - In: Optimization in statistics : with a view towards …, (pp. 153-164). 1982
Persistent link: https://www.econbiz.de/10003001537
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Self-Identified College Peer Groups and Derived Rankings
Wills, Craig - 2023
The Integrated Postsecondary Data System contains a rich set of information about U.S. colleges and universities. As part of this information, institutions can identify a ``custom comparison group'' of peer institutions. 80% of the nearly 1500 institutions we consider in this work provided such...
Persistent link: https://www.econbiz.de/10014262135