Separating the Wheat from the Chaff: Understanding Portfolio Returns in an Emerging Market
No abstract is available for this item.
|Date of creation:||Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (56-2) 369 3560
Fax: (56-2) 369 3576
Web page: http://www.uai.cl/RePEc/uai
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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.
- Raj Kumar Pan & Sitabhra Sinha, 2007. "Collective behavior of stock price movements in an emerging market," Papers 0704.0773, arXiv.org, revised Nov 2007.
- 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.
- 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.
- 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.
- M. Potters & J. P. Bouchaud & L. Laloux, 2005. "Financial Applications of Random Matrix Theory: Old Laces and New Pieces," Papers physics/0507111, arXiv.org.
- 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.
- J. P. Bouchaud & M. Potters, 2009. "Financial Applications of Random Matrix Theory: a short review," Papers 0910.1205, arXiv.org.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
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.
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)
If references are entirely missing, you can add them using this form.