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  • Search: subject:"matrix theory"
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Year of publication
Subject
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Random matrix theory 82 random matrix theory 46 Lineare Algebra 29 Linear algebra 28 Korrelation 27 Theorie 26 Correlation 25 Theory 25 Portfolio selection 24 Portfolio-Management 24 Random Matrix Theory 23 Estimation theory 17 Schätztheorie 17 Large-dimensional asymptotics 16 Correlation 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 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 Monte-Carlo-Simulation 6 Random-matrix theory 6 Share price 6 Statistical distribution 6 Statistische Verteilung 6 Stock market 6
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Online availability
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Undetermined 107 Free 54 CC license 2
Type of publication
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Article 123 Book / Working Paper 51
Type of publication (narrower categories)
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Working Paper 38 Article in journal 37 Aufsatz in Zeitschrift 37 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 22 Aufsatz im Buch 5 Book section 5 Article 4 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1
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Language
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English 90 Undetermined 83 German 1
Author
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Ledoit, Olivier 17 Wolf, Michael 16 Luu, Duc Thi 9 Guerini, Mattia 8 Napoletano, Mauro 8 Bodnar, Taras 6 Parolya, Nestor 6 Eom, Cheoljun 5 Kim, Soo Yong 5 Moon, Hyungsik Roger 5 Weidner, Martin 5 Barbieri, Claudio 4 Kelly, Bryan T. 4 Kim, Min Jae 4 Lux, Thomas 4 Malamud, Semyon 4 Ormerod, Paul 4 Yanovski, Boyan 4 Burda, Zdzisław 3 Crane, M. 3 Jurkiewicz, Jerzy 3 Kim, Kyungsik 3 Livan, Giacomo 3 Scalas, Enrico 3 Zhou, Kangying 3 Abul-Magd, A.Y. 2 Ahn, Sanghyun 2 Alfarano, Simone 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 Eterovic, Dalibor S. 2 Eterovic, Nicolas A. 2 Fagiolo, Giorgio 2 Garlaschelli, Diego 2
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Institution
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 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 Department of Economics, Leicester University 1 HAL 1 Institut für Weltwirtschaft (IfW) 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 55 Working Paper 9 Working paper series / University of Zurich, Department of Economics 8 Journal of Multivariate Analysis 7 LEM Working Paper Series 3 LEM working paper series 3 Research paper series / Swiss Finance Institute 3 The European Physical Journal B - Condensed Matter and Complex Systems 3 Advances in Complex Systems (ACS) 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 Evolutionary and institutional economics review 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 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 Papers in Economics 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 Economics Working Paper 1 Economics working paper 1 Economics: The Open-Access, Open-Assessment E-Journal 1
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Source
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RePEc 87 ECONIS (ZBW) 65 EconStor 20 USB Cologne (EcoSocSci) 2
Showing 151 - 160 of 174
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Determination of interaction potentials in freeway traffic from steady-state statistics
Krbalek, Milan; Helbing, Dirk - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 370-378
equilibrium statistical physics we learned from random matrix theory. It allows one to determine the interaction potential via …
Persistent link: https://www.econbiz.de/10011057976
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Signal and noise in financial correlation matrices
Burda, Zdzisław; Jurkiewicz, Jerzy - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 67-72
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and …
Persistent link: https://www.econbiz.de/10011058220
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Signal and noise in correlation matrix
Burda, Z.; Görlich, A.; Jarosz, A.; Jurkiewicz, J. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 295-310
Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance (correlation) matrix. Results can be applied in various problems...
Persistent link: https://www.econbiz.de/10011060423
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Probability distributions of transport observables in quantum dots: crossover between universal ensembles
Souza, A.M.C.; Macêdo, A.M.S. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 677-684
by employing the Landauer–Büttiker scattering approach and random-matrix theory and are presented as a function of the …
Persistent link: https://www.econbiz.de/10011060738
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Free Lévy matrices and financial correlations
Burda, Zdzisław; Jurkiewicz, Jerzy; Nowak, Maciej A.; … - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 694-700
We consider a covariance matrix composed of asymmetric and free random Lévy matrices. We use the results of free random variables to derive an algebraic equation for the resolvent and solve it to extract the spectral density. For an appropriate choice of asymmetry and Lévy index α/2=34 the...
Persistent link: https://www.econbiz.de/10011062560
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Estimated correlation matrices and portfolio optimization
Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 623-634
observations is that the recently introduced filtering technique based on random matrix theory performs consistently well in all …
Persistent link: https://www.econbiz.de/10011064343
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Random matrix theory for portfolio optimization: a stability approach
Sharifi, S.; Crane, M.; Shamaie, A.; Ruskin, H. - In: Physica A: Statistical Mechanics and its Applications 335 (2004) 3, pp. 629-643
We apply random matrix theory (RMT) to an empirically measured financial correlation matrix, C, and show that this …
Persistent link: https://www.econbiz.de/10010591804
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Noisy covariance matrices and portfolio optimization II
Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 319 (2003) C, pp. 487-494
Recent studies inspired by results from random matrix theory (Galluccio et al.: Physica A 259 (1998) 449; Laloux et al …
Persistent link: https://www.econbiz.de/10011060009
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Problem--Solving Oscillations in Complex Engineering Projects
Mihm, Jürgen; Loch, Christoph; Huchzermeier, Arnd - In: Management Science 49 (2003) 6, pp. 733-750
Coordination among many interdependent actors in complex product development projects is recognized as a key activity in organizational theory. It is well known that this coordination becomes progressively more difficult with project size, but we do not yet sufficiently understand whether this...
Persistent link: https://www.econbiz.de/10009191715
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Identifying complexity by means of matrices
Drożdż, S; Kwapień, J; Speth, J; Wójcik, M - In: Physica A: Statistical Mechanics and its Applications 314 (2002) 1, pp. 355-361
human brain and the financial markets, by relating empirical observations to the random matrix theory and quantifying …
Persistent link: https://www.econbiz.de/10011062211
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