The fine structure of spectral properties for random correlation matrices: an application to financial markets
Year of publication: |
2011-02-19
|
---|---|
Authors: | Livan, Giacomo ; Alfarano, Simone ; Scalas, Enrico |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | random matrix theroy | financial econometrics | correlation matrix |
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