An analysis of cross-correlations in an emerging market

Physica A: Statistical Mechanics and its Applications

Volumn 375, Issue 2, 2007, Pages 584-598

  Wilcox, Diane ^a   Gebbie, Tim ^b  

^a UNIVERSITY OF CAPE TOWN   (South Africa)

^b Futuregrowth Asset Management   (South Africa)

Author keywords

Cross correlations; Emerging markets; Finance; Random matrices

Indexed keywords

CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS; FINANCE; MATRIX ALGEBRA; PARAMETER ESTIMATION; RANDOM PROCESSES;

CROSS-CORRELATIONS; EMERGING MARKETS; RANDOM MATRICES; TEMPORAL STABILITY;

FINANCIAL DATA PROCESSING;

EID: 33845440896     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.10.030     Document Type: Article

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