7 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.ST2026
Iterative detection of global factors near the BBP phase transition
Andrés García-Medina
Detecting the number of global factors in high-dimensional correlation matrices is a central problem in multivariate statistics and random matrix theory, with important implication…
q-fin.ST2023★ 4 cited
Random matrix theory and nested clustered portfolios on Mexican markets
Andrés García-Medina, Benito Rodriguéz-Camejo
This work aims to deal with the optimal allocation instability problem of Markowitz's modern portfolio theory in high dimensionality. We propose a combined strategy that considers…
stat.ME2022★ 7 cited
Two-step estimators of high dimensional correlation matrices
Andrés García-Medina, Salvatore Miccichè, Rosario N. Mantegna
We investigate block diagonal and hierarchical nested stochastic multivariate Gaussian models by studying their sample cross-correlation matrix on high dimensions. By performing nu…