Search Results - subject:"Random matrix"

Moment component analysis : an illustration with international stock markets

Jondeau, Eric; Jurczenko, Emmanuel; Rockinger, Michael - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 576-598

Persistent link: https://www.econbiz.de/10012249215

Nonstationarity of the intraday individual and collective seasonalities of price fluctuations

Queirós, Sílvio M. Duarte; Graczyk, Michelle B. - In: The journal of network theory in finance 3 (2017) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10011668579

Hierarchy, cluster, and time-stable information structure of correlations between international financial markets

Cai, Yumei; Cui, Xiaomei; Huang, Qianyun; Sun, Jianqiang - In: International review of economics & finance : IREF 51 (2017), pp. 562-573

Persistent link: https://www.econbiz.de/10011754669

Analysis of cross-correlations in emerging markets using random matrix theory

Urama, Thomas Chinwe; Ezepue, Patrick Oseloka; Nnanwa, … - In: Journal of mathematical finance 7 (2017) 2, pp. 291-307

Persistent link: https://www.econbiz.de/10011673890

Estimating High Dimensional Covariance Matrices and its Applications

Bai, Jushan; Shi, Shuzhong - In: Annals of Economics and Finance 12 (2011) 2, pp. 199-215

random matrix theory approach. For each method, the construction of covariance matrices is given. The relationships among …

Persistent link: https://www.econbiz.de/10009278162

Estimating High Dimensional Covariance Matrices and its Applications

Bai, Jushan; Shi, Shuzhong - China Economics and Management Academy, Central … - 2011

random matrix theory approach. For each method, the construction of covariance matrices is given. The relationships among …

Persistent link: https://www.econbiz.de/10009322490

The fine structure of spectral properties for random correlation matrices: an application to financial markets

Livan, Giacomo; Alfarano, Simone; Scalas, Enrico - Volkswirtschaftliche Fakultät, … - 2011

predicted by Random Matrix Theory for such models. …

Persistent link: https://www.econbiz.de/10008854403

HodgeRank is the limit of Perron Rank

Tran, Ngoc Mai - In: Mathematics of operations research 41 (2016) 2, pp. 643-647

Persistent link: https://www.econbiz.de/10011520510

Numerical implementation of the QuEST function

Ledoit, Olivier; Wolf, Michael - 2016

This paper deals with certain estimation problems involving the covariance matrix in large dimensions. Due to the breakdown of finite-dimensional asymptotic theory when the dimension is not negligible with respect to the sample size, it is necessary to resort to an alternative framework known as...

Persistent link: https://www.econbiz.de/10011414533

Dynamical cross-correlation of multiple time series Ising model

Takaishi, Tetsuya - In: Evolutionary and institutional economics review 13 (2016) 2, pp. 455-468

Persistent link: https://www.econbiz.de/10011581495

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