Parameterizing correlations: a geometric interpretation
From MaRDI portal
Publication:5427788
DOI10.1093/imaman/dpl010zbMath1123.62041OpenAlexW2058343378MaRDI QIDQ5427788
Damiano Brigo, Francesco Rapisarda, Fabio Mercurio
Publication date: 27 November 2007
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/8bb9e0f93382b566bb5d8479c0bb3d5aa9d4dc38
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items
A deep learning algorithm for high-dimensional exploratory item factor analysis ⋮ Robust modeling of multivariate longitudinal data using modified Cholesky and hypersphere decompositions ⋮ Analysis of multivariate longitudinal data using ARMA Cholesky and hypersphere decompositions ⋮ Triangular angles parameterization for the correlation matrix of bivariate longitudinal data ⋮ Correlation stress testing for value-at-risk: an unconstrained convex optimization approach ⋮ Copula density estimation by finite mixture of parametric copula densities ⋮ Canonical correlation for principal components of time series ⋮ Penalty decomposition methods for rank minimization ⋮ Parametrising correlation matrices ⋮ Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach ⋮ On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Direct formulation to Cholesky decomposition of a general nonsingular correlation matrix ⋮ Bayesian estimation of correlation matrices of longitudinal data ⋮ A new methodology to create valid time-dependent correlation matrices via isospectral flows ⋮ Distribution of random correlation matrices: hyperspherical parameterization of the Cholesky factor ⋮ Group Kernels for Gaussian Process Metamodels with Categorical Inputs ⋮ A trivariate Gaussian copula stochastic frontier model with sample selection ⋮ On the low rank solution of the Q‐weighted nearest correlation matrix problem ⋮ Two Useful Techniques for Financial Modelling Problems ⋮ Penalising model component complexity: a principled, practical approach to constructing priors ⋮ Two Cholesky-log-GARCH models for multivariate volatilities ⋮ Stress testing correlation matrix: a maximum empirical likelihood approach ⋮ Flexible Bayesian dynamic modeling of correlation and covariance matrices ⋮ A Black–Litterman approach to correlation stress testing ⋮ A new parameterization for the drift-free simulation in the Libor market model
