Luo, Yong; Xiong, Jie; Dong, Lie Gang; Tang, Yong - In: China Finance Review International 5 (2015) 2, pp. 91-102
Purpose – The purpose of this paper is to investigate the statistical correlation properties of the Shanghai Interbank Offered Rate (SHIBOR) interbank lending market. Design/methodology/approach – The authors apply methods of correlation analysis, random matrix theory (RMT) and minimum...