The fine structure of spectral properties for random correlation matrices: an application to financial markets
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- Livan, Giacomo & Alfarano, Simone & Scalas, Enrico, 2011. "The fine structure of spectral properties for random correlation matrices: an application to financial markets," MPRA Paper 28964, University Library of Munich, Germany.
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More about this item
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
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