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ROSARIO NUNZIO MANTEGNA

Spectral density of the correlation matrix of factor models: A random matrix theory approach

  • Autori: Lillo, F.; Mantegna, R.
  • Anno di pubblicazione: 2005
  • Tipologia: Articolo in rivista (Articolo in rivista)

Abstract

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.

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