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ArticleGenerating random correlation matrices based on vines and extended onion method

Dorota Kurowicka2009

OA

Articlebronze2009

Generating random correlation matrices based on vines and extended onion method

Dorota Kurowicka · Harry Joe

1,057 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Random Matrices and Applications

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2006Uncertainty Analysis with High Dimensional Dependence Modelling

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Year2009

Typearticle

Published2009-05-05

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations1,057

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2009.04.008

openalex_workW2084045976

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