Spectral density of the correlation matrix of factor models: a random matrix theory approach.
We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.
Lillo
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Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, New Mexico 87501, USA.
Mantegna
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RN