An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling (Q3424320)
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scientific article; zbMATH DE number 5127622
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling |
scientific article; zbMATH DE number 5127622 |
Statements
An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling (English)
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15 February 2007
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correlation matrix
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rank reduction
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market models
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0.8092436790466309
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0.7864062190055847
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0.7405860424041748
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0.7016075253486633
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0.7006986141204834
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