Spectral analysis of time-dependent market-adjusted return correlation matrix (Q2149233)
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scientific article; zbMATH DE number 7549766
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| English | Spectral analysis of time-dependent market-adjusted return correlation matrix |
scientific article; zbMATH DE number 7549766 |
Statements
Spectral analysis of time-dependent market-adjusted return correlation matrix (English)
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28 June 2022
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market-adjusted return
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return correlation matrix
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maximum eigenvalue
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multi-modal distribution
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