Statistical rehabilitation of improper correlation matrices
From MaRDI portal
Publication:3088326
DOI10.1080/14697680903390118zbMath1219.91152OpenAlexW2092534505MaRDI QIDQ3088326
Antonio Pievatolo, Arnoldo Frigessi, Anders Løland, Fabrizio Ruggeri
Publication date: 19 August 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903390118
Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items
A Black–Litterman approach to correlation stress testing, Statistical Corrections of Invalid Correlation Matrices
Cites Work