Asymmetric correlation matrices: an analysis of financial data
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References listed on IDEAS
- G. Livan & S. Alfarano & E. Scalas, 2011.
"The fine structure of spectral properties for random correlation matrices: an application to financial markets,"
- 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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- repec:eee:stapro:v:126:y:2017:i:c:p:33-40 is not listed on IDEAS
- Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
- Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
- Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-ECM-2012-02-15 (Econometrics)
- NEP-ETS-2012-02-15 (Econometric Time Series)
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