The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

DOI10.3150/16-BEJ901zbMath1414.62368arXiv1605.02563MaRDI QIDQ2405222

Xiaolei Xie, Mohsen Rezapour, Thomas Mikosch, Anja Janssen

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.02563

zbMATH Keywords

regular variationstochastic volatilityeigenvectorsdependent entrieslargest eigenvaluessample covariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Random matrices (probabilistic aspects) (60B20)

Related Items (6)

Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case ⋮ Tail measure and spectral tail process of regularly varying time series ⋮ Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices ⋮ Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process ⋮ Random matrix theory for heavy-tailed time series ⋮ The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

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