Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing, for example, in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and temporal auto-covariances. We give a comprehensive introduction to the rich financial reality behind such models. We explain …