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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302
Persistent link: https://www.econbiz.de/10003622775
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Random matrix approach to correlation matrix of financial data : (Mexican stock market case)
Casillas González, Juan Martín; Torres, Antonio Alatorre - In: Modern economy 6 (2015) 9, pp. 1033-1042
Persistent link: https://www.econbiz.de/10011441589
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Application of random matrix theory to study cross-correlations of stock prices
Rosenow, Bernd (contributor) - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 399-403
Persistent link: https://www.econbiz.de/10001522893
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α-stable [Alpha-stable] random vectors with time varying spectral measure and applications to financial time series analysis
Hartz, Christoph - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003716514
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A discrete-delay dynamic model for the stock market
Dobrescu, Loretti; Neamtu, Mihaela; Opris, Dumitru - 2012
Persistent link: https://www.econbiz.de/10009679119
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Random matrix theory and cross-correlations of stock prices
Rosenow, B.; Gopikrishnan, P.; Plerou, V.; Stanley, H. E. - In: Empirical science of financial fluctuations : the …, (pp. [27]-34). 2002
Persistent link: https://www.econbiz.de/10001679223
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Dynamics of correlations in the stock market
Drożdż, S.; Grümmer, F.; Ruf, François; Speth, J. - In: Empirical science of financial fluctuations : the …, (pp. [41]-50). 2002
Persistent link: https://www.econbiz.de/10001679227
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Characterizing price index behavior through fluctuation dynamics
Panigrahi, Prasanta K.; Ghosh, Sayantan; Banerjee, Arjun; … - In: Econophysics of systemic risk and network dynamics : …, (pp. 287-295). 2013
Persistent link: https://www.econbiz.de/10010211787
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Analyzing crisis in global financial indices
Kumar, Sunil; Deo, Nivedita - In: Econophysics of systemic risk and network dynamics : …, (pp. 261-275). 2013
Persistent link: https://www.econbiz.de/10010211797