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Separating the Wheat from the Chaff: Understanding Portfolio Returns in an Emerging Market

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    File URL: http://www.uai.cl/RePEc/uai/wpaper/wp_025.pdf
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    Paper provided by Adolfo Ibáñez University, School of Government in its series Working Papers with number wp_025.

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    Date of creation: Oct 2012
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    Handle: RePEc:uai:wpaper:wp_025
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    Web page: http://www.uai.cl/RePEc/uai
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    1. Leonidas Sandoval Junior & Adriana Bruscato & Maria Kelly Venezuela, 2012. "Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory," Papers 1201.0625, arXiv.org, revised Mar 2013.
    2. A. Javier Hamann & Irina Bunda & Subir Lall, 2010. "Correlations in Emerging Market Bonds; The Role of Local and Global Factors," IMF Working Papers 10/6, International Monetary Fund.
    3. Raj Kumar Pan & Sitabhra Sinha, 2007. "Collective behavior of stock price movements in an emerging market," Papers 0704.0773, arXiv.org, revised Nov 2007.
    4. Y. Malevergne & D. Sornette, 2002. "Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices," Papers cond-mat/0210115, arXiv.org.
    5. Burda, Z. & Görlich, A. & Jarosz, A. & Jurkiewicz, J., 2004. "Signal and noise in correlation matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 295-310.
    6. Marc Potters & Jean-Philippe Bouchaud & Laurent Laloux, 2005. "Financial Applications of Random Matrix Theory: Old Laces and New Pieces," Science & Finance (CFM) working paper archive 500058, Science & Finance, Capital Fund Management.
    7. Wilcox, Diane & Gebbie, Tim, 2007. "An analysis of cross-correlations in an emerging market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 584-598.
    8. J. P. Bouchaud & M. Potters, 2009. "Financial Applications of Random Matrix Theory: a short review," Papers 0910.1205, arXiv.org.
    9. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
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