Conlon, T.; Ruskin, H.J.; Crane, M. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 565-576
to be estimated using a relatively small sample of monthly returns data which induces noise. In this paper, random matrix … theory (RMT) is applied to a cross-correlation matrix C, constructed using hedge fund returns data. The analysis reveals a …