Cleaning large correlation matrices: Tools from Random Matrix Theory-Reference-Cited by-同舟云学术

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Cleaning large correlation matrices: Tools from Random Matrix Theory

Published:2017-01 Issue: Volume:666 Page:1-109
ISSN:0370-1573
Container-title:Physics Reports
language:en
Short-container-title:Physics Reports

Author:

Bun Joël^ORCID,Bouchaud Jean-Philippe,Potters Marc

Publisher

Elsevier BV

Subject

General Physics and Astronomy

Reference190 articles.

1. Advanced Econometrics;Amemiya,1985

2. Large sample properties of generalized method of moments estimators;Hansen;Econometrica,1982

3. The Elements of Statistical Learning;Friedman,2001

4. Portfolio selection;Markowitz;J. Finance,1952

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