The eigenvalue spectrum of lagged correlation matrices

MaRDI QIDQ5359678zbMATH OpenFDO

Authors Christoly Biely, Stefan Thurner

Publication date 27 September 2017

Full work available at URL http://www.actaphys.uj.edu.pl/fulltext?series=Reg&vol=38&page=4111

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited in

(9)

• Spectral density of autocorrelated Wishart-Lévy matrices
• Spectra of large time-lagged correlation matrices from random matrix theory
• Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
• Generic features in the spectral decomposition of correlation matrices
• Asymmetric matrices in an analysis of financial correlations
• Asymmetric random matrices: what do we need them for?
• Correlation functions between singular values and eigenvalues
• Hard edge asymptotics of correlation functions between singular values and one eigenvalue
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application

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