Correlated Wishart Matrices and Critical Horizons (2005)
Burda, Zdzislaw, Goerlich, Andrzej, Jurkiewicz, Jerzy, Waclaw, Bartlomiej
We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on the analysis of the behavior of a conformal map at a critical horizon...
Signal and Noise in Financial Correlation Matrices
Zdzislaw Burda, Jerzy Jurkiewicz
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation...