Separating the Wheat from the Chaff: Understanding Portfolio Returns in an Emerging Market
Download full text from publisher
References listed on IDEAS
- J. P. Bouchaud & M. Potters, 2009. "Financial Applications of Random Matrix Theory: a short review," Papers 0910.1205, arXiv.org.
- M. Potters & J. P. Bouchaud & L. Laloux, 2005.
"Financial Applications of Random Matrix Theory: Old Laces and New Pieces,"
- 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.
- Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009.
"Correlations in emerging market bonds: The role of local and global factors,"
Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
- A. J Hamann & Irina Bunda & Subir Lall, 2010. "Correlations in Emerging Market Bonds; The Role of Local and Global Factors," IMF Working Papers 2010/006, International Monetary Fund.
- 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.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- 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.
- Raj Kumar Pan & Sitabhra Sinha, 2007. "Collective behavior of stock price movements in an emerging market," Papers 0704.0773, arXiv.org, revised Nov 2007.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGE-2012-12-06 (Economics of Ageing)
- NEP-COM-2012-12-06 (Industrial Competition)
- NEP-EFF-2012-12-06 (Efficiency & Productivity)
- NEP-LAM-2012-12-06 (Central & South America)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uai:wpaper:wp_025. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio A Agostini). General contact details of provider: http://edirc.repec.org/data/ipuaicl.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.