We introduce a random matrix model where the entries are dependent across both rows and columns. More precisely, we investigate matrices of the form X = (X(iâˆ’1)n+t)it âˆˆ RpÃ—n derived from a linearâ€¦ (More)

We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets, while stillâ€¦ (More)

We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable i = 1, . . . , p is modelled asâ€¦ (More)