Spectral analysis of time-dependent market-adjusted return correlation matrix

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authors: Bommarito II, M. J., & Duran, A.
year: 2018
venue: Physica A: Statistical Mechanics and its Applications
details: Volume 503, Pages 273-282
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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.