SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET

DOI10.1142/S0219024908005020zbMath1185.91137arXivcond-mat/0404416MaRDI QIDQ3606402

Tim Gebbie, Diane L. Wilcox

Publication date: 26 February 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0404416

zbMATH Keywords

random matriceslong memoryemerging marketsrandom walk hypothesis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

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Uses Software

• longmemo

Cites Work

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