Stress testing correlation matrix: a maximum empirical likelihood approach

DOI10.1080/00949655.2015.1122790OpenAlexW2301802730MaRDI QIDQ5222510

Kwok-Wah Ho

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1122790

zbMATH Keywords

empirical likelihoodcorrelation matrixrisk managementstress testing

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• A note on adjusting correlation matrices
• A Black–Litterman approach to correlation stress testing
• An Information Theoretic Approach to Econometrics
• Parameterizing correlations: a geometric interpretation

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