WILCOX, DIANE; GEBBIE, TIM - In: International Journal of Theoretical and Applied … 11 (2008) 07, pp. 739-760
We investigate serial correlation, periodic, aperiodic and scaling behavior of eigenmodes, i.e., daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002.Periodic, or...