Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient

Title
Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient
Authors
Keywords
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Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 392, Issue 17, Pages 3715-3730
Publisher
Elsevier BV
Online
2013-04-24
DOI
10.1016/j.physa.2013.04.027

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