correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows … tests, with information about previous evolution of correlation in time. We apply this solution to financial time series …

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

the manipulation of a valid correlation matrix is challenging. We also propose three methods to perform the following … high correlation values (for example, in a system crisis as experienced just recently). 2) Decrease correlations such that … they shrink to zero or a minimum correlation. This procedure is needed to analyze hedged portfolios or, more generally …

In this paper we review some standard and more recent filtering techniques, based on Random Matrix Theory (RMT), that …

Measurement Approaches (AMA) address the issue of the soundness and integrity of the correlation estimates. We propose a sound … analysis framework based on Random Matrix Theory (RMT) to control the real levels of observed pair-wise correlations and avoid … focusing only on correlations average. We first study the relevant application of this asymptotic theory to small samples. We …

reduction, employing a number of simple tests using Random Matrix Theory (RMT) constructs. In each case, the correlations … zero-correlation Wishart random matrix WRM composed of correlations between series filled with independent Gaussian random …

Limit spectral theory of sample covariance matrices of increasing dimension was recently used as a base for the … investigation of fundamental relations of this theory (of the “canonical equations”) that thus prove the accuracy of asymptotic …