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20112017
most citedCorrelation of financial markets in times of crisis

290 citations · 566 across the 11 of their papers we have counts for

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q-fin.PM2012★ 11 cited

Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory

Leonidas Sandoval Junior, Adriana Bruscato, Maria Kelly Venezuela

By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de São Paulo) which are cleaned of some of t…