Sensoy, A.; Yuksel, S.; Erturk, M. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 20, pp. 5027-5045
We analyze the cross-correlation matrix C of the index returns of the main financial markets after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for universal properties of random matrices and find that the majority of the cross-correlation coefficients...