Procedures and illustrative examples are given to test a null hypothesis specifying the population correlation matrix and the homogeneity of several independent sample correlation matrices.

For example, a downward move of the S&P 500 leads to an increased average correlation between stocks. Here again, RMT provides powerful tools to describe the time evolution of the full covariance ...

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation.