Visualitza UJI: Investigación per autoria "c5681aec-5aa2-42af-b8e6-a11933686168"
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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 ... -
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 ...