Practitioners often have to compute a correlation matrix for financial applications as in value-at-risk, asset … allocation, and option pricing, etc. The computed correlation matrix, however, could be a non-positive semidefinite matrix due to … invalid correlation matrix to be fixed. Algorithm 1 keeps the top left submatrix unchanged, whereas Algorithm 2, under a …

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH …

zero-correlation Wishart random matrix WRM composed of correlations between series filled with independent Gaussian random …

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 …

factors. The traditional simulation approach for generating correlated random numbers employs correlation matrix decomposition … however for a large bank the size of the correlation matrix makes decomposition very problematic or impossible. This paper …

Demonstration of the extraordinary out-of-sample stability of noise-filtered correlation matrices measured in terms of ….Study of the out-of-sample stability of noise-filtered correlation matrices as a function of number of securities and history …