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2001.04964
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The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
14 January 2020
Johannes Heiny
T. Mikosch
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ArXiv (abs)
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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
Johannes Heiny
Jianfeng Yao
58
15
0
08 Mar 2020
1