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The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

Johannes Heiny
T. Mikosch
ArXiv (abs)PDFHTML

Papers citing "The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails"

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Title
Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
Johannes Heiny
Jianfeng Yao
56
15
0
08 Mar 2020