Separating the Wheat from the Chaff: Understanding Portfolio Returns in an Emerging Market
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- 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.
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- 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.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- J. P. Bouchaud & M. Potters, 2009. "Financial Applications of Random Matrix Theory: a short review," Papers 0910.1205, arXiv.org.
- 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.
- 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.
- 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. 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.
- 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.
- 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.
- Raj Kumar Pan & Sitabhra Sinha, 2007. "Collective behavior of stock price movements in an emerging market," Papers 0704.0773, arXiv.org, revised Nov 2007.
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