13 citations · 14 across the 3 of their papers we have counts for
4 papers
A Note on Bayesian Rationality and Correlated Equilibrium
Gabriel Frahm
Bayesian rationality in strategic games presumes that it is possible to translate strategic uncertainty into imperfect information. Correlated equilibrium is guided by the idea tha…
A Modern Approach to the Efficient-Market Hypothesis
Gabriel Frahm
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "…
Semicircle Law for Tyler's M-Estimator of Scatter
Gabriel Frahm, Konstantin Glombek
We show convergence in probability of the spectral distribution of Tyler's M-estimator for scatter to the semicircle law.
Random matrix theory and robust covariance matrix estimation for financial data
Gabriel Frahm, Uwe Jaekel
The traditional class of elliptical distributions is extended to allow for asymmetries. A completely robust dispersion matrix estimator (the `spectral estimator') for the new class…