Analyzing financial correlation matrix based on the eigenvector-eigenvalue identity
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Publication:2066070
DOI10.1016/j.physa.2020.125713OpenAlexW3113447965MaRDI QIDQ2066070
Publication date: 13 January 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2020.125713
Cites Work
- Cleaning large correlation matrices: tools from random matrix theory
- Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
- Random matrix application to correlations amongst the volatility of assets
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