I am seeing an issue when callibrating an MP distribution. Assume a log return series for the SP500 with the following dimensions dim(xts.sp500.ret.stocksonly) ==>  1133 478 ...
Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?
Steps to replicate: Take the correlation matrix of a sample of stocks in the SP500, or a set of ETF's that are include some that are highly correlated (0.7 and above). Problem observed: I observe ...
I am exploring de-noising and cleansing of covariance matrices via Random Matrix Theory. RMT is a competitor to shrinkage methods of covariance estimation. There are various methods expressed usually ...