Spectral analysis of time-dependent market-adjusted return correlation matrix
paper
authors:Bommarito II, M. J., & Duran, A.
year:2018
venue:Physica A: Statistical Mechanics and its Applications
details:Volume 503, Pages 273-282
pdf preview
citation
Bommarito II, M. J., & Duran, A. (2018). Spectral analysis of time-dependent market-adjusted return correlation matrix. Physica A: Statistical Mechanics and its Applications. Volume 503, Pages 273-282.