Burda, Zdzisław; Jarosz, Andrzej; Nowak, Maciej; … - In: Quantitative Finance 11 (2011) 7, pp. 1103-1124
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing, for example, in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and temporal auto-covariances. We give a comprehensive...