The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

Matematik

• Stochastic Volatility Model 100%
• Sample Covariance Matrix 94%
• Heavy Tails 90%
• Volatility 85%
• High-dimensional 61%
• Time series 45%
• Term 40%
• Linear dependence 32%
• Regular Variation 31%
• Eigenvalues and Eigenvectors 28%
• Dependence Structure 27%
• Point Process 26%
• Random Matrices 25%
• Large Deviations 25%
• Time-varying 24%
• Eigenvector 23%
• Multiplier 22%
• Trace 20%
• Siméon Denis Poisson 20%
• Sample Size 19%
• Asymptotic Behavior 17%
• Eigenvalue 15%
• Approximation 12%
• Theorem 10%