Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property (Q5107327)
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scientific article; zbMATH DE number 7193726
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property |
scientific article; zbMATH DE number 7193726 |
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Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property (English)
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27 April 2020
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random correlation matrix
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Perron-Frobenius property
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Bendel-Mickey algorithm
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eigenvalues
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