This paper studies association between changes in absorption ratio and aggregate market returns in three systemic crises across a broad class of assets. Time series of normalized eigenvalue estimates reveal that crises are characterized by a general breakdown of correlation structure. The structure of return correlations is nonlinear and nonstationary across dierent asset groups. So we introduce a nonparametric technique to monitor divergence in distributions underlying successive observations of normalized dominant eigenvalue of the returns. Periods of high divergence imply a change in the correlation structure of asset returns. They are found to either precede or coincide with systemic shocks. An additional parametric analysis is provided as an informal check on the results obtained in the paper.

中文翻译：

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随机矩阵理论和非参数变化点分析在三个显着系统性危机中的应用

本文研究了在涉及广泛资产类别的三种系统性危机中吸收率变化与市场总回报之间的关联。归一化特征值估计的时间序列表明，危机的特征是相关结构的总体崩溃。收益相关性的结构在不同资产组之间是非线性且不稳定的。因此，我们引入了一种非参数技术来监视分布的差异，这些分布是对收益的归一化主导特征值的连续观察的基础。高差异期意味着资产收益的相关结构发生了变化。发现它们在全身性冲击之前或与之相伴。提供了额外的参数分析，作为对本文获得的结果的非正式检查。