Search Results - subject:"Random matrix"

The pricing of idiosyncratic risk: evidence from the implied volatility distribution

Süss, Stephan - In: Financial Markets and Portfolio Management 26 (2012) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10010987759

Sandoval, Leonidas - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2678-2711

This work employs various techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The first technique establishes a threshold above which...

Persistent link: https://www.econbiz.de/10010872222

Correlation of financial markets in times of crisis

Sandoval, Leonidas; Franca, Italo De Paula - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 187-208

Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In...

Persistent link: https://www.econbiz.de/10010591109

A note on the modified two-way MANOVA tests

Zhang, Jin-Ting; Xiao, Shengning - In: Statistics & Probability Letters 82 (2012) 3, pp. 519-527

For heteroscedastic two-way MANOVA, the so-called modified MANOVA tests proposed recently are too conservative, not powerful and not affine-invariant. In this note, we show how they can be improved and can be made affine-invariant. A real data example and some simulation studies are used to...

Persistent link: https://www.econbiz.de/10010571754

Semicircle law of Tyler’s M-estimator for scatter

Frahm, Gabriel; Glombek, Konstantin - In: Statistics & Probability Letters 82 (2012) 5, pp. 959-964

This paper analyzes the spectral properties of Tyler’s M-estimator for scatter Tn,d. It is shown that if a multivariate sample stems from a generalized spherically distributed population and the sample size n and the dimension d both go to infinity while d/n→0, then the empirical spectral...

Persistent link: https://www.econbiz.de/10011039962

Phase transition in limiting distributions of coherence of high-dimensional random matrices

Tony Cai, T.; Jiang, Tiefeng - In: Journal of Multivariate Analysis 107 (2012) C, pp. 24-39

The coherence of a random matrix, which is defined to be the largest magnitude of the Pearson correlation coefficients … between the columns of the random matrix, is an important quantity for a wide range of applications including high … columns of the random matrix are independent random vectors with a common spherical distribution, we give a complete …

Persistent link: https://www.econbiz.de/10011041957

Analysis of symmetry breaking in quartz blocks using superstatistical random-matrix theory

Abul-Magd, A.Y.; Mazen, S.A.; Abdel-Mageed, M. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 11, pp. 3027-3032

the applicability of superstatistical random-matrix theory to the final stages of the symmetry-breaking transition. A …

Persistent link: https://www.econbiz.de/10011063915

Uniform approximation of eigenvalues in Laguerre and Hermite beta-ensembles by roots of orthogonal polynomials

Imhof, Lorens A.; Dette, Holger - 2004

We derive strong uniform approximations for the eigenvalues in general Laguerre and Hermite beta-ensembles by showing that the maximal discrepancy between the suitably scaled eigenvalues and roots of orthogonal polynomials converges almost surely to zero when the dimension converges to infinity....

Persistent link: https://www.econbiz.de/10010296641

Uniform approximation of eigenvalues in Laguerre and Hermite beta-ensembles by roots of orthogonal polynomials

Imhof, Lorens A.; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004

Persistent link: https://www.econbiz.de/10009216850

Principal regression analysis and the index leverage effect

Reigneron, Pierre-Alain; Allez, Romain; Bouchaud, … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 17, pp. 3026-3035

provide some analytical (using Random Matrix Theory) and numerical benchmarks. We find that downward index trends increase the …

Persistent link: https://www.econbiz.de/10010873200