Empirical properties of large covariance matrices
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DOI: 10.1080/14697688.2010.508047
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- Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
- Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
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Keywords
Covariance matrix; Correlation; Long memory; Spectrum; Spectral density;All these keywords.
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