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Recommended resources
Module 2
Random Covariance Matrices and Spectral Statistics
Module 3
The Marchenko–Pastur Benchmark
Module 4
Resolvents and the Mathematics Behind the Limit Law
Module 5
Spiked Models, Market Modes, and Eigenvector Information
Module 6
Eigenvalue Cleaning with Random-Matrix Benchmarks
Module 7
Linear and Nonlinear Spectral Shrinkage
Module 8
Adapting RMT to Financial Return Data
Module 9
Portfolio Construction with Cleaned Risk Models
Module 10