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Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case. (2011). Nowak, Maciej ; Jurkiewicz, Jerzy ; Zahed, Ismail ; Papp, Gabor ; Jarosz, Andrzej.
In: Quantitative Finance.
RePEc:taf:quantf:v:11:y:2011:i:7:p:1103-1124.

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Cited: 7

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  1. Beating the Correlation Breakdown: Robust Inference, Flexible Scenarios, and Stress Testing for Financial Portfolios. (2025). Opdyke, JD.
    In: Papers.
    RePEc:arx:papers:2504.15268.

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  2. Estimation of Large Financial Covariances: A Cross-Validation Approach. (2023). , Vincent ; Zohren, Stefan.
    In: Papers.
    RePEc:arx:papers:2012.05757.

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  3. Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations. (2020). Guhr, Thomas ; Schell, Andreas.
    In: Papers.
    RePEc:arx:papers:2011.07570.

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  4. A Random Matrix Approach to Credit Risk. (2014). Guhr, Thomas ; Schafer, Rudi ; Munnix, Michael C.
    In: PLOS ONE.
    RePEc:plo:pone00:0098030.

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  5. Integration of invariant matrices and moments of inverses of Ginibre and Wishart matrices. (2014). Matsumoto, Sho ; Saad, Nadia ; Collins, Benoit .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:126:y:2014:i:c:p:1-13.

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  6. Zooming into market states. (2014). Guhr, Thomas ; Schafer, Rudi ; Chetalova, Desislava.
    In: Papers.
    RePEc:arx:papers:1406.5386.

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  7. The pricing of idiosyncratic risk: evidence from the implied volatility distribution. (2012). Suss, Stephan.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:2:p:247-267.

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References

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Modelling delayed correlation between interest rates and equity market returns. (2023). Othieno, Ferdinand Okoth ; Yalla, Brian Opiyo.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:2:d:10.1007_s43546-022-00397-x.

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  2. Estimation of Large Financial Covariances: A Cross-Validation Approach. (2023). , Vincent ; Zohren, Stefan.
    In: Papers.
    RePEc:arx:papers:2012.05757.

    Full description at Econpapers || Download paper

  3. A dimension reduction method for stock-price prediction using multiple predictors. (2022). Ghorbani, Mahsa.
    In: Operational Research.
    RePEc:spr:operea:v:22:y:2022:i:3:d:10.1007_s12351-021-00636-3.

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  4. Portfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers. (2022). Rodriguez, Alejandro.
    In: Papers.
    RePEc:arx:papers:2202.08921.

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  5. Stock price prediction using principal components. (2020). Ghorbani, Mahsa.
    In: PLOS ONE.
    RePEc:plo:pone00:0230124.

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  6. Emergence of correlations between securities at short time scales. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien.
    In: Post-Print.
    RePEc:hal:journl:hal-02343888.

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  7. Emergence of correlations between securities at short time scales. (2018). Valeyre, S ; Aboura, S ; Grebenkov, D S.
    In: Papers.
    RePEc:arx:papers:1807.05015.

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  8. To lag or not to lag? How to compare indices of stock markets that operate at different times. (2013). Sandoval, Leonidas Junior .
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_319.

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  9. Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case. (2011). Nowak, Maciej ; Jurkiewicz, Jerzy ; Zahed, Ismail ; Papp, Gabor ; Jarosz, Andrzej.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:7:p:1103-1124.

    Full description at Econpapers || Download paper

  10. Empirical properties of large covariance matrices. (2011). Zumbach, Gilles.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:7:p:1091-1102.

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  11. The asymptotic spectrum of the EWMA covariance estimator. (2007). Svensson, Jens .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:385:y:2007:i:2:p:621-630.

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  12. Non-stationary correlation matrices and noise. (2007). Martins, Andre C. R., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:379:y:2007:i:2:p:552-558.

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  13. Randomly generating portfolio-selection covariance matrices with specified distributional characteristics. (2007). Qi, Yue ; Steuer, Ralph E. ; Hirschberger, Markus.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:177:y:2007:i:3:p:1610-1625.

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