Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
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References listed on IDEAS
- Szilard Pafka & Marc Potters & Imre Kondor, 2004.
"Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization,"
- Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Science & Finance (CFM) working paper archive 500050, Science & Finance, Capital Fund Management.
- Christoly Biely & Stefan Thurner, 2006. "Random matrix ensembles of time-lagged correlation matrices: Derivation of eigenvalue spectra and analysis of financial time-series," Papers physics/0609053, arXiv.org.
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- Desislava Chetalova & Rudi Schafer & Thomas Guhr, 2014. "Zooming into market states," Papers 1406.5386, arXiv.org.
- Collins, Benoît & Matsumoto, Sho & Saad, Nadia, 2014. "Integration of invariant matrices and moments of inverses of Ginibre and Wishart matrices," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 1-13.
- Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
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KeywordsPortfolio theory; Power laws; Statistical physics; Risk measures; Random walks; Options pricing; Random matrix theory;
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