Akemann, G.; Fischmann, J.; Vivo, P. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 13, pp. 2566-2579
We investigate whether quantities such as the global spectral density or individual eigenvalues of financial covariance matrices can be best modelled by standard random matrix theory or rather by its generalisations displaying power-law tails. In order to generate individual eigenvalue...