Listar por autoría "c5681aec-5aa2-42af-b8e6-a11933686168"

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    • openAccess   A spectral perspective on excess volatility 

      Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; Scalas, Enrico Taylor & Francis (2015)
      We perform a rather careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong ...

    • openAccess   The fine structure of spectral properties for random correlation matrices: an application to financial markets 

      Livan, Giacomo; Alfarano, Simone; Scalas, Enrico American Physical Society (2011-07-29)
      We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded ...