Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case (Q3088327): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Free extreme values / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable laws and domains of attraction in free probability theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4285023 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Free diffusions, free entropy and free Fisher information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large dimension forecasting models and random singular value spectra / rank
 
Normal rank
Property / cites work
 
Property / cites work: Free random Lévy variables and financial probabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantifying the dynamics of financial correlations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling the persistence of conditional variances / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5538132 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Developments in random matrix theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sur la distribution limite du terme maximum d'une série aléatoire / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mastering the master field / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new method to estimate the noise in financial correlation matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiplying unitary random matrices—universality and spectral properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES / rank
 
Normal rank
Property / cites work
 
Property / cites work: A random matrix model of communication via antenna arrays / rank
 
Normal rank
Property / cites work
 
Property / cites work: Noisy covariance matrices and portfolio optimization. II / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the empirical distribution of eigenvalues of a class of large dimensional random matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiplicative functions on the lattice of non-crossing partitions and free convolution / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Epps effect revisited / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear multiuser receivers: effective interference, effective bandwidth and user capacity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hierarchically nested factor model from multivariate data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit laws for random matrices and free products / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characteristic vectors of bordered matrices with infinite dimensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Law of addition in random matrix theory / rank
 
Normal rank

Latest revision as of 09:28, 4 July 2024

scientific article
Language Label Description Also known as
English
Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
scientific article

    Statements

    Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    19 August 2011
    0 references
    portfolio theory
    0 references
    power laws
    0 references
    statistical physics
    0 references
    risk measures
    0 references
    random walks
    0 references
    options pricing
    0 references
    random matrix theory
    0 references
    0 references
    0 references
    0 references

    Identifiers