Analysis of non-stationary dynamics in the financial system
DOI10.1016/J.ECONLET.2013.09.026zbMATH Open1288.91197OpenAlexW3124438845MaRDI QIDQ2453048FDOQ2453048
Authors: Samar K. Guharay, Gaurav Thakur, Fred J. Goodman, Scott L. Rosen, Daniel Houser 
Publication date: 6 June 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2013.09.026
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non-stationary time seriesfunctional PCAsynchrosqueezingdetection of macroeconomic instabilitymulti-time scale characteristics
Cites Work
- Functional data analysis
- Markov chain Monte Carlo methods for stochastic volatility models.
- Statistical inference for time-inhomogeneous volatility models.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bubbles, crashes and risk
- Synchrosqueezed wavelet transforms: an empirical mode decomposition-like tool
- Long-Term Risk: An Operator Approach
- Agent-based simulation of a financial market
- Self-organizing Ising model of financial markets
Cited In (7)
- Financial instability contagion: a dynamical systems approach
- Wave-shape function analysis. When cepstrum meets time-frequency analysis
- Aspetti dinamici di leggi finanziarie scindibili
- ConceFT: concentration of frequency and time via a multitapered synchrosqueezed transform
- The synchrosqueezing transform for instantaneous spectral analysis
- Nonlinear manifold learning for early warnings in financial markets
- Real-time dynamics acquisition from irregular samples - with application to anesthesia evaluation
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