In my case, I am applying this in the calibration of instantaneous correlation matrices. His relevant papers can be found at [0]. It was really helpful that he

In my case, I am applying this in the calibration of instantaneous correlation matrices. His relevant papers can be found at [0]. It was really helpful that he also published MATLAB code of most of his algorithms. [0] https://nhigham.com/correlation-matrices/ https://nhigham.com/correlation-matrices/