CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET (Q6095475)
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scientific article; zbMATH DE number 7735464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET |
scientific article; zbMATH DE number 7735464 |
Statements
CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET (English)
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8 September 2023
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portfolio
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Marčenko-Pastur distribution
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financial correlations
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factor model
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