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On the non-stationarity of financial time series: Impact on optimal portfolio selection
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence ...
Fine structure of spectral properties for random correlation matrices: An application to financial markets
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 ...