Bayesian correlation estimation

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Covariance Estimation: The GLM and Regularization Perspectives (2011, methodology): “Since some of the <p/s could be negative and may not even satisfy the order restriction, Stein has suggested an isotonizing procedure to obtain modified estimators satisfying the above constraints; for more details on this procedure see Lin and Perlman (1985). Lin and Perlman (1985) have applied the”
Predictability of stock returns and asset allocation under structural breaks (2011, unknown): “Following common practice in the literature on predictability of stock returns, we use as our dependent variable the continuously compounded return on a portfolio of US stocks comprising firms listed on the NYSE, AMEX and NASDAQ in excess of a 1-month T-bill rate.”
A New Algorithm for Simulating a Correlation Matrix Based on Parameter Expansion and Reparameterization (2006, background): “Liechty, Liechty, and Müller (2004) proposed another approach to simulate all the components of the correlation matrix one by one through introduction of a latent variable.”