The correlation matrix problem in insurance and banking

International Journal of Mathematical Education in Science and Technology

Volumn 35, Issue 3, 2004, Pages 353-361

  Samuels, Michael ^a  

^a Federal Service for Surveillance on Consumer Rights Protection and Human Well Being   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 67749113902     PISSN: 0020739X     EISSN: 14645211     Source Type: Journal    
DOI: 10.1080/00207390410001686535     Document Type: Article

References (5)

1. Boyer RH, Gibson MS, Loreton M, 1997 Pitfalls in tests for changes in correlations. Int. Finance Discussion Paper #597 Dec
2. Finger C, 1997 RiskMetrics Monitor Fourth Quarter 3 11 London RiskMetrics
3. Anton H, Rorres C, 1994 Elementary Linear Algebra, John Wiley
4. Ferrar WL, 1957 Algebra Oxford University Press 2nd Edition London
5. Li, C-K, and Tam, B-S. 1994. Siam J. Matrix Anal. Applic, 15:903–908.