An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
| Year of publication: |
2006
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|---|---|
| Authors: | Morini, Massimo ; Webber, Nick |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1350-486X, ZDB-ID 12824094. - Vol. 13.2006, 4, p. 309-332
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