correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows … tests, with information about previous evolution of correlation in time. We apply this solution to financial time series …

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

the manipulation of a valid correlation matrix is challenging. We also propose three methods to perform the following … high correlation values (for example, in a system crisis as experienced just recently). 2) Decrease correlations such that … they shrink to zero or a minimum correlation. This procedure is needed to analyze hedged portfolios or, more generally …