The fine structure of spectral properties for random correlation matrices: an application to financial markets
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- G. Livan & S. Alfarano & E. Scalas, 2011. "The fine structure of spectral properties for random correlation matrices: an application to financial markets," Papers 1102.4076, arXiv.org.
References listed on IDEAS
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- repec:taf:quantf:v:17:y:2017:i:2:p:289-297 is not listed on IDEAS
- Giacomo Livan & Simone Alfarano & Mishael Milaković & Enrico Scalas, 2015.
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More about this item
Keywordsrandom matrix theroy; financial econometrics; correlation matrix;
- 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
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