Pages that link to "Item:Q4521262"
From MaRDI portal
The following pages link to RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS (Q4521262):
Displaying 50 items.
- Implied basket correlation dynamics (Q308412) (← links)
- Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators (Q406518) (← links)
- Cleaning large correlation matrices: tools from random matrix theory (Q521794) (← links)
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
- Corrections to the central limit theorem for heavy-tailed probability densities (Q662876) (← links)
- GOE statistics for Lévy matrices (Q824414) (← links)
- Cluster analysis for portfolio optimization (Q844576) (← links)
- Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory (Q844582) (← links)
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics (Q857293) (← links)
- Universality results for the largest eigenvalues of some sample covariance matrix ensembles (Q1017885) (← links)
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond (Q1049567) (← links)
- On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
- Random magnets and correlations of stock price fluctuations (Q1850397) (← links)
- Noisy covariance matrices and portfolio optimization. II (Q1855541) (← links)
- Dynamics of cross-correlations in the stock market (Q1873967) (← links)
- A unified model for regularized and robust portfolio optimization (Q2007869) (← links)
- Eigenvector statistics of Lévy matrices (Q2039453) (← links)
- Optimal signal detection in some spiked random matrix models: likelihood ratio tests and linear spectral statistics (Q2091821) (← links)
- A note on power-law cross-correlated processes (Q2122871) (← links)
- A combinatorial optimization approach to scenario filtering in portfolio selection (Q2146965) (← links)
- Improving portfolios global performance using a cleaned and robust covariance matrix estimate (Q2153647) (← links)
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement (Q2168136) (← links)
- A generalized Lieb's theorem and its applications to spectrum estimates for a sum of random matrices (Q2272497) (← links)
- High dimensional deformed rectangular matrices with applications in matrix denoising (Q2278666) (← links)
- Diversified minimum-variance portfolios (Q2351637) (← links)
- Economic fluctuations and statistical physics: the puzzle of large fluctuations (Q2432363) (← links)
- Portfolio selection with probabilistic utility (Q2480226) (← links)
- Eigenvalues of large sample covariance matrices of spiked population models (Q2507762) (← links)
- Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices (Q2571691) (← links)
- Statistical arbitrage in the US equities market (Q2786280) (← links)
- Institutional investors and the dependence structure of asset returns (Q2800050) (← links)
- Liquidity risk and instabilities in portfolio optimization (Q2816955) (← links)
- Estimation of spiked eigenvalues in spiked models (Q2884858) (← links)
- LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS (Q2970316) (← links)
- Robust estimation of a high-dimensional integrated covariance matrix (Q2974915) (← links)
- Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case (Q3088327) (← links)
- STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS (Q3121229) (← links)
- On the non-stationarity of financial time series: impact on optimal portfolio selection (Q3301374) (← links)
- Constructing analytically tractable ensembles of stochastic covariances with an application to financial data (Q3302163) (← links)
- Stability and hierarchy of quasi-stationary states: financial markets as an example (Q3302370) (← links)
- Replica approach to mean-variance portfolio optimization (Q3302503) (← links)
- SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION (Q3421825) (← links)
- Convergence of Sample Eigenvectors of Spiked Population Model (Q3458125) (← links)
- MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES (Q3644885) (← links)
- Portfolio optimization under Expected Shortfall: contour maps of estimation error (Q4554495) (← links)
- A methodology for index tracking based on time-series clustering (Q4610248) (← links)
- A nested factor model for non-linear dependencies in stock returns (Q4619483) (← links)
- Emergence of statistically validated financial intraday lead-lag relationships (Q4619502) (← links)
- (Q4782142) (← links)
- Mean–variance efficient portfolios with many assets: 50% short (Q4911223) (← links)
