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Eigenvectors of some large sample covariance matrices ensembles

Ledoit, Olivier; Péché, Sandrine - Institut für Volkswirtschaftslehre, … - 2009

We consider sample covariance matrices constructed from real or complex i.i.d. variates with finite 12th moment. We assume that the population covariance matrix is positive definite and its spectral measure almost surely converges to some limiting probability distribution as the number of...

Persistent link: https://www.econbiz.de/10005627835

Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises

Melkuev, David; Guo, Danqiao; Wirjanto, Tony S. - In: Quantitative finance and economics 2 (2018) 2, pp. 413-467

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Building a performance indicator to investigate the robustness of water supply utilities in Japan

Kawase, Yuji; Maeno, Yusuke; Piyasena, M. L. U. K.; … - In: Asian Journal of Management Science and Applications 6 (2021) 2, pp. 85-108

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Predicting customer churn using grey wolf optimization-based support vector machine with principal component analysis

Kurtcan, Betul Durkaya; Ozcan, Tuncay - In: Journal of forecasting 42 (2023) 6, pp. 1329-1340

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Extent and determinants of bank risk-taking : evidence from Tunisia

Gaied-Chortane, Sana; El Khaldi, Abderrazek; Omran, Mohamed - In: International journal of corporate governance : IJCG 13 (2023) 4, pp. 361-382

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Daily tourism forecasting through a novel method based on principal component analysis, grey wolf optimizer, and extreme learning machine

Zhang, Chuan; Hu, Ao-Yun; Tian, Yu-Xin - In: Journal of forecasting 42 (2023) 8, pp. 2121-2138

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Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

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Interest rate forecasting with principal component analysis based on long-run covariance matrix

Hissinaga, Hugo; Laurini, Márcio Poletti - In: Annals of financial economics 19 (2024) 2, pp. 1-50

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Developing and testing the efficacy of a novel forecasting methodology : theory and evidence from China

Yang, Yuhong; Dogru, Tarik; Liang, Chao; Wang, Jianqiong; … - In: Tourism economics : the business and finance of tourism … 30 (2024) 8, pp. 2043-2069

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Optimal portfolio diversification via independent component analysis

Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric - In: Operations research 70 (2022) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10012820639