Evaluating financial system stability using heatmap from aggregate financial stability index with change point analysis approach

DOI10.1007/S10690-020-09326-0zbMATH1495.91114OpenAlexW3120810609MaRDI QIDQ2166090FDOQ2166090

Authors Apriliani Gustiana, Nasrudin

Publication date 23 August 2022

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-020-09326-0

zbMATH Keywords

change point analysisheat mapaggregate financial stability indexfinancial system stability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

• A new financial stress index model based on support vector regression and control chart
• Early warning of financial systemic risk in China: based on Markov regime-switching model
• Research on the systemically important evaluation of banks based on support vector machine
• Towards a generalized measure of systemic risk: systemic turbulence measure
• Financial instability contagion: a dynamical systems approach

Cites work

• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
• On the Likelihood Ratio Test for a Shift in Location of Normal Populations
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance

Cited in

(1)

• Understanding the Effects of Green Swan Events on Financial Stability: Annex II Countries and Turkey

This page was built for publication: Evaluating financial system stability using heatmap from aggregate financial stability index with change point analysis approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2166090)