Constructing analytically tractable ensembles of stochastic covariances with an application to financial data

DOI10.1088/1742-5468/2015/11/P11025zbMath1456.60023arXiv1503.01584OpenAlexW3102474932MaRDI QIDQ3302163

Martin Theissen, Frederik Meudt, Rudi Schäfer, Thomas Guhr

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.01584

Mathematics Subject Classification ID

Problems related to evolution (92D15) Random matrices (probabilistic aspects) (60B20) Stochastic network models in operations research (90B15) Stochastic models in economics (91B70) Climate science and climate modeling (86A08)

Related Items (2)

Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations ⋮ Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model

Cites Work

• Cross hedging with stochastic correlation
• Volatility in financial markets: Stochastic models and empirical results
• Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
• Superstatistical generalizations of Wishart–Laguerre ensembles of random matrices
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Empirical properties of asset returns: stylized facts and statistical issues
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