datasets, Gilles turns to the joint problem of volatility and correlation. Certainly, one challenge in the study is to define …, where we concentrate on a small number of stable directions for correlation or covariance. Gilles's deeper investigation … where correlation and volatility are both dynamic quantities …

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 …

This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step … usual normalization. In the third step, the two-step conditional covariance and correlation matrices are regularized by … model. This yields the final, third step smoothed estimate of the conditional covariance and correlation matrices. Due to …

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the … same time series deliberately contaminated with noise. The final, noise filtered correlation matrices, were practically the … measures that gave average distance between off-diagonal elements of correlation matrices obtained as a result of noise …

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the same matrix deliberately … contaminated with noise. The final, noise filtered correlation matrices, were practically the same in both cases (by simple visual … between off-diagonal elements of correlation matrices obtained as a result of noise filtering of empirical correlation matrix …

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 …

filtering noise from correlation matrices developed by the New York based company, Market Memory Trading, L.L.C. (MMT …, from asset allocation to LIBOR Surveillance and cyber security.“ROBUSTNESS OF A NOISE FILTERING PROCEDURE FOR CORRELATION … MATRICES - Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices." White Paper 8, dated June 3, 2013 …