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On spectral distribution of high dimensional covariation matrices

Heinrich, Claudio; Podolskij, Mark - 2014

Persistent link: https://www.econbiz.de/10010442408

A canonical representation of block matrices with applications to covariance and correlation matrices

Archakov, Ilya; Hansen, Peter Reinhard - In: The review of economics and statistics 106 (2024) 4, pp. 1099-1113

Persistent link: https://www.econbiz.de/10015046494

Asset allocation with factor-based covariance matrices

Conlon, Thomas; Cotter, John; Kynigakis, Iason - In: European journal of operational research : EJOR 325 (2025) 1, pp. 189-203

Persistent link: https://www.econbiz.de/10015433232

Further results on Samuelson's inequality

Farebrother, Richard William - In: Statistical inference, econometric analysis and matrix …, (pp. 311-316). 2009

Persistent link: https://www.econbiz.de/10003781050

High-dimensionality in statistics and portfolio optimization

Glombek, Konstantin - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013360879

Random matrix theory and financial correlations

Laloux, Laurent (contributor) - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 391-397

Persistent link: https://www.econbiz.de/10001522891

Application of random matrix theory to study cross-correlations of stock prices

Rosenow, Bernd (contributor) - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 399-403

Persistent link: https://www.econbiz.de/10001522893

Random matrix theory and a definition of correlations in financial markets

Korotkikh, Galina - In: Financial engineering, E-commerce and supply chain, (pp. 175-187). 2002

Persistent link: https://www.econbiz.de/10001747032

A Note on the Solution of the Nearest Correlation Matrix Problem by Von Neumann Matrix Divergence

Mishra, Sudhanshu K. - 2012

In the extant literature a suggestion has been made to solve the nearest correlation matrix problem by a modified von …-positivesemi-definite correlation matrix by such a method is either infeasible or suboptimal. First, if a given matrix is already positive semi …

Persistent link: https://www.econbiz.de/10014165159

A Clustering Algorithm for Financial Time Series Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory

Rodriguez Dominguez, Alejandro - 2022

correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows … tests, with information about previous evolution of correlation in time. We apply this solution to financial time series …

Persistent link: https://www.econbiz.de/10014084356