Sharkasi, Adel; Crane, Martin; Ruskin, Heather J.; … - In: Physica A: Statistical Mechanics and its Applications 368 (2006) 2, pp. 511-521
We study here the behaviour of the first three eigenvalues (λ1,λ2,λ3) and their ratios [(λ1/λ2),(λ1/λ3),(λ2/λ3)] of the covariance matrices of the original return series and of those rebuilt from wavelet components for emerging and mature markets. It has been known for some time that...