A spectral perspective on excess volatility
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"The fine structure of spectral properties for random correlation matrices: an application to financial markets,"
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More about this item
Keywordsexcess volatility; excess comovement; random matrix theory; profit rate; return on assets;
- D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis
- L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-04 (All new papers)
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