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  • Search: subject:"random matrix theory"
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Year of publication
Subject
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Random matrix theory 84 random matrix theory 48 Linear algebra 32 Lineare Algebra 32 Korrelation 30 Theorie 30 Theory 29 Correlation 28 Portfolio selection 27 Portfolio-Management 27 Random Matrix Theory 25 Estimation theory 17 Schätztheorie 17 Large-dimensional asymptotics 16 Correlation matrix 13 rotation equivariance 13 Econophysics 12 Volatility 10 Konjunkturzusammenhang 9 Portfolio optimization 9 Principal component analysis 8 Welt 8 Business cycle synchronization 7 Börsenkurs 7 Capital income 7 Forecasting model 7 Kapitaleinkommen 7 Prognoseverfahren 7 Share price 7 Stock market 7 Time series analysis 7 Volatilität 7 Zeitreihenanalyse 7 factor models 7 nonlinear shrinkage estimation 7 EU countries 6 EU-Staaten 6 Financial crisis 6 Financial market 6 Finanzkrise 6
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Online availability
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Undetermined 105 Free 53 CC license 2
Type of publication
All
Article 121 Book / Working Paper 48
Type of publication (narrower categories)
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Article in journal 41 Aufsatz in Zeitschrift 41 Working Paper 38 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 22 Aufsatz im Buch 6 Book section 6 Article 3 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1
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Language
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English 94 Undetermined 75
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 Fagiolo, Giorgio 3 Garlaschelli, Diego 3 Jurkiewicz, Jerzy 3 Kim, Kyungsik 3 Livan, Giacomo 3 Scalas, Enrico 3 Squartini, Tiziano 3 Zema, Sebastiano Michele 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 Dai, Yun-Shi 2 Delannay, R. 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 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 53 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 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 Advances in Quantitative Methods for Economics and Business : A Tribute to José García Pérez 1 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 / 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 international 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 and Business Letters : EBL 1 Economics working paper 1 Economics: The Open-Access, Open-Assessment E-Journal 1
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Source
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RePEc 80 ECONIS (ZBW) 70 EconStor 19
Showing 1 - 10 of 169
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A test of the efficiency of a given portfolio in high dimensions
Chernov, Mikhail; Kelly, Bryan T.; Malamud, Semyon; … - 2025 - This version: March 13, 2025
Persistent link: https://www.econbiz.de/10015358006
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Mesoscopic structure of the stock market and portfolio optimization
Zema, Sebastiano Michele; Fagiolo, Giorgio; Squartini, … - In: Journal of economic interaction and coordination 20 (2025) 2, pp. 307-333
Persistent link: https://www.econbiz.de/10015440256
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Factors relevance in asset pricing : new evidences in emerging markets from random matrix theory
Molero-González, Laura; Trinidad Segovia, Juan Evangelista - In: Economics and Business Letters : EBL 14 (2025) 2, pp. 75-87
Persistent link: https://www.econbiz.de/10015437925
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The anatomy of government bond yields synchronization in the Eurozone
Barbieri, Claudio; Guerini, Mattia; Napoletano, Mauro - In: Macroeconomic dynamics 28 (2024) 8, pp. 1635-1672
Persistent link: https://www.econbiz.de/10015154395
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Optimal shrinkage-based portfolio selection in high dimensions
Bodnar, Taras; Okhrin, Yarema; Parolya, Nestor - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 140-156
Persistent link: https://www.econbiz.de/10013540653
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The resonance effect of economic policy uncertainty worldwide : a time-frequency analysis
Zhao, Xiaojun; Geng, Xinru; Huang, Yurui; Wu, Yuhang; … - In: The North American journal of economics and finance : a … 78 (2025), pp. 1-18
Persistent link: https://www.econbiz.de/10015434581
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Global synchronization effect of economic policy uncertainty
Zhao, Xiaojun; Meng, Qingyu; Xu, Chao; Zhang, Na - In: Review of international economics 33 (2025) 4, pp. 853-869
Persistent link: https://www.econbiz.de/10015460555
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Geopolitical risk and the volatility of the international grain futures market
Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - In: The journal of futures markets 45 (2025) 10, pp. 1757-1794
Persistent link: https://www.econbiz.de/10015464911
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Portfolio selection : an approach from random matrix theory
Molero González, Laura; Trinidad Segovia, Juan Evangelista - In: Advances in Quantitative Methods for Economics and …, (pp. 199-224). 2025
Persistent link: https://www.econbiz.de/10015464319
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The Virtue of Complexity Everywhere
Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2022
We investigate the performance of non-linear return prediction models in the high complexity regime, i.e., when the number of model parameters exceeds the number of observations. We document a "virtue of complexity" in all asset classes that we study (US equities, international equities, bonds,...
Persistent link: https://www.econbiz.de/10013403787
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