In this paper we present a novel and highly flexible method to simulate correlation matrices of financial markets. It produces realistic outcomes regarding stylized facts of empirical correlation matrices and requires no asset return input data. The matrix generation is based on a...

Correlation networks reveal a rich picture of market risk structure dynamics. A rather compact and well-organized sector correlation network is indicative of a healthy market, whereas a widely spread sector correlation network characterizes a more fragile market environment. Intuitively, some...

In this paper, we present a framework for detecting distinct correlation regimes and analyzing the emerging state dependences for a multi-asset futures portfolio from 1998 to 2013. These correlation regimes have been significantly different since the financial crisis of 2008 than they were...