An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
Date
2006
Authors
Advisors
Journal Title
Journal ISSN
ISSN
Volume Title
Publisher
Taylor and Francis
Type
Article
Peer reviewed
Yes
Abstract
Description
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Citation
Morini, M. and Webber, N. (2006) An EZI method to reduce the rank of a correlation matrix. Applied Mathematical Finance, 13 (4), pp. 309-331.