Random matrix models for datasets with fixed time horizons

DOI10.1080/14697688.2020.1711962zbMath1466.91302OpenAlexW3002541643WikidataQ126295800 ScholiaQ126295800MaRDI QIDQ4991056

G. L. Zitelli

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1711962

zbMATH Keywords

Lévy processrandom matrix theorysample covariance matrixempirical spectral distributionMarčenko-Pastur distributiongeneralized gamma convolution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Related Items (1)

Amalgamated free Lévy processes as limits of sample covariance matrices

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