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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

14 January 2020
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"

1 / 1 papers shown
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
58
15
0
08 Mar 2020
1