Financial Applications of Random Matrix Theory – Covariance Matrix Filtering Techniques

Małgorzata Snarska ()
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Małgorzata Snarska: Cracow University of Economics, Poland

Chapter 4 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 59-69 from University of Lodz

Abstract: In Chapter 4 Snarska deals with filtering techniques based on Random Matrix Theory. In the empirical part of the study the empirical eigenvalues of filtered correlation matrices for FTSE index are presented.

Keywords: Covariance matrix filtering techniques; Random matrix theory; Markowitz model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2009:n:07:ch:04:mon

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