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Year of publication
Subject
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Random matrix theory 82 random matrix theory 46 Linear algebra 30 Lineare Algebra 30 Korrelation 28 Theorie 28 Theory 27 Correlation 26 Portfolio selection 25 Portfolio-Management 25 Random Matrix Theory 23 Estimation theory 17 Schätztheorie 17 Large-dimensional asymptotics 16 Correlation matrix 13 Random matrix 13 rotation equivariance 13 Econophysics 12 Volatility 9 Konjunkturzusammenhang 8 Portfolio optimization 8 Principal component analysis 8 Capital income 7 Forecasting model 7 Kapitaleinkommen 7 Monte-Carlo-Simulation 7 Prognoseverfahren 7 factor models 7 nonlinear shrinkage estimation 7 Business cycle synchronization 6 Börsenkurs 6 EU countries 6 EU-Staaten 6 Financial crisis 6 Financial market 6 Finanzkrise 6 Random-matrix theory 6 Share price 6 Statistical distribution 6 Statistische Verteilung 6
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Online availability
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Undetermined 123 Free 59 CC license 1
Type of publication
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Article 137 Book / Working Paper 57
Type of publication (narrower categories)
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Working Paper 43 Article in journal 39 Aufsatz in Zeitschrift 39 Graue Literatur 25 Non-commercial literature 25 Arbeitspapier 24 Aufsatz im Buch 5 Book section 5 Article 3 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1
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Language
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English 97 Undetermined 97
Author
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Ledoit, Olivier 17 Wolf, Michael 16 Guerini, Mattia 10 Napoletano, Mauro 10 Luu, Duc Thi 9 Bodnar, Taras 6 Parolya, Nestor 6 Bai, Zhidong 5 Eom, Cheoljun 5 Kim, Soo Yong 5 Moon, Hyungsik Roger 5 Weidner, Martin 5 Barbieri, Claudio 4 Burda, Zdzisław 4 Jurkiewicz, Jerzy 4 Kelly, Bryan T. 4 Kim, Min Jae 4 Livan, Giacomo 4 Lux, Thomas 4 Malamud, Semyon 4 Ormerod, Paul 4 Scalas, Enrico 4 Yanovski, Boyan 4 Alfarano, Simone 3 Crane, M. 3 Dette, Holger 3 Kim, Kyungsik 3 Li, Hua 3 Zahed, Ismail 3 Zhou, Kangying 3 Abul-Magd, A.Y. 2 Ahn, Sanghyun 2 Allez, Romain 2 Amaral, L.A.N. 2 Azoury, Nehme 2 Bai, Jushan 2 Bouchaud, Jean-Philippe 2 Bouri, Elie 2 Delannay, R. 2 El Alaoui, Marwane 2
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Institution
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 China Economics and Management Academy, Central University of Finance and Economics (CUFE) 1 Departament d'Economia, Universitat Jaume I 1 HAL 1 Institut für Weltwirtschaft (IfW) 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Santa Fe Institute 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 59 Journal of Multivariate Analysis 11 Working Paper 10 Working paper series / University of Zurich, Department of Economics 8 Statistics & Probability Letters 6 Advances in Complex Systems (ACS) 3 Evolutionary and institutional economics review 3 LEM Working Paper Series 3 LEM working paper series 3 Research paper series / Swiss Finance Institute 3 Annals of the Institute of Statistical Mathematics 2 Applied economics letters 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Economic research 2 European journal of operational research : EJOR 2 International review of economics & finance : IREF 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 MPRA Paper 2 Research in international business and finance 2 Sciences Po OFCE working paper 2 Stochastic Processes and their Applications 2 Swiss Finance Institute Research Paper 2 The journal of operational risk 2 cemmap working paper 2 Annals of Economics and Finance 1 Applied economics 1 CEMA Working Papers 1 Computational Economics 1 Computational economics 1 Digital Designs for Money, Markets, and Social Dilemmas 1 Discussion paper / Tinbergen Institute 1 Discussion papers / CEPR 1 Documents de travail du Centre d'Economie de la Sorbonne 1 ECON - Working Papers 1 Econometric reviews 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Economics - The Open-Access, Open-Assessment E-Journal 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics Papers from University Paris Dauphine 1
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Source
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RePEc 103 ECONIS (ZBW) 69 EconStor 22
Showing 101 - 110 of 194
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Unfolding of the spectrum for chaotic and mixed systems
Abul-Magd, Ashraf A.; Abul-Magd, Adel Y. - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 185-194
Random Matrix Theory (RMT) is capable of making predictions for the spectral fluctuations of a physical system only …
Persistent link: https://www.econbiz.de/10011060449
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Spatial and temporal structures of four financial markets in Greater China
Ouyang, F.Y.; Zheng, B.; Jiang, X.F. - In: Physica A: Statistical Mechanics and its Applications 402 (2014) C, pp. 236-244
through the random matrix theory. Meanwhile, we observe that the Taiwan and Hong Kong stock markets show a negative return …
Persistent link: https://www.econbiz.de/10011060620
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Quantifying randomness in protein–protein interaction networks of different species: A random matrix approach
Agrawal, Ankit; Sarkar, Camellia; Dwivedi, Sanjiv K.; … - In: Physica A: Statistical Mechanics and its Applications 404 (2014) C, pp. 359-367
We analyze protein–protein interaction networks for six different species under the framework of random matrix theory … emulate universal Gaussian orthogonal statistics of random matrix theory. We demonstrate that spectral rigidity, which … quantifies long range correlations in eigenvalues, for all protein–protein interaction networks follow random matrix prediction …
Persistent link: https://www.econbiz.de/10010931567
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Distribution of eigenvalues of large Euclidean matrices generated from lp ellipsoid
Zeng, Xingyuan - In: Statistics & Probability Letters 91 (2014) C, pp. 181-191
In this paper, we study large Euclidean random matrices Mn=(fn(‖xi−xj‖2))n×n where xi’s are i.i.d. points lp-norm uniformly distributed over the N dimensional lp ellipsoid or its surface, fn is a real function on [0,∞) and ‖⋅‖ is the Euclidean distance. Under the assumption that...
Persistent link: https://www.econbiz.de/10011039772
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On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
Bodnar, Taras; Gupta, Arjun K.; Parolya, Nestor - In: Journal of Multivariate Analysis 132 (2014) C, pp. 215-228
recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal …
Persistent link: https://www.econbiz.de/10011041912
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Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
Couillet, Romain; McKay, Matthew - In: Journal of Multivariate Analysis 131 (2014) C, pp. 99-120
well-understood random matrix models. This characterization allows us to derive optimal shrinkage strategies to estimate …
Persistent link: https://www.econbiz.de/10011042062
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On a symbolic representation of non-central Wishart random matrices with applications
Di Nardo, Elvira - In: Journal of Multivariate Analysis 125 (2014) C, pp. 121-135
-central Wishart random matrix is represented as the convolution of the traces of its central component and of a formal variable matrix …. Thanks to this representation, the moments of this random matrix are proved to be a Sheffer polynomial sequence, allowing us …
Persistent link: https://www.econbiz.de/10010743750
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A random matrix theory approach to test for agricultural productivity convergence
Surry, Yves; Galanopoulos, Konstantinos - In: Applied economics letters 21 (2014) 16/18, pp. 1319-1323
Persistent link: https://www.econbiz.de/10010467415
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Correlation and network structure of international financial markets in times of crisis
Sandoval Junior, Leonidas - In: Emerging markets and the global economy, (pp. 795-810). 2014
Persistent link: https://www.econbiz.de/10010434608
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A macroscopic order of consumer demand due to heterogenous consumer behaviors on Japanese household demand tested by the random matrix theory
Aruka, Yūji; Kichikawa, Yuichi; Iyetomi, Hiroshi - In: Econophysics of agent-based models, (pp. 187-201). 2014
Persistent link: https://www.econbiz.de/10011282068
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