Random matrix application to correlations amongst the volatility of assets

DOI10.1080/14697688.2015.1014400zbMath1468.91154arXiv1310.1601OpenAlexW2002442765MaRDI QIDQ5001110

Dinghai Xu, Ajay Singh

Publication date: 16 July 2021

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

Full work available at URL: https://arxiv.org/abs/1310.1601

zbMATH Keywords

eigenvalue distributionrandom matrix theoryvolatility correlation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Random matrices (probabilistic aspects) (60B20) Financial markets (91G15)

Related Items

AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES ⋮ A memory-based method to select the number of relevant components in principal component analysis ⋮ Theq-dependent detrended cross-correlation analysis of stock market ⋮ Analyzing financial correlation matrix based on the eigenvector-eigenvalue identity ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering ⋮ Random matrix models for datasets with fixed time horizons

Uses Software

• forecast
• Forecast
• Rugarch

Cites Work

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