Analysis of non-stationary dynamics in the financial system

DOI10.1016/J.ECONLET.2013.09.026MaRDI QIDQ2453048zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

detection of macroeconomic instabilityfunctional PCAmulti-time scale characteristicsnon-stationary time seriessynchrosqueezing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Agent-based simulation of a financial market
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bubbles, crashes and risk
• Functional data analysis
• Long-Term Risk: An Operator Approach
• Markov chain Monte Carlo methods for stochastic volatility models.
• Self-organizing Ising model of financial markets
• Statistical inference for time-inhomogeneous volatility models.
• Synchrosqueezed wavelet transforms: an empirical mode decomposition-like tool

Cited in

(7)

• Wave-shape function analysis. When cepstrum meets time-frequency analysis
• Nonlinear manifold learning for early warnings in financial markets
• Real-time dynamics acquisition from irregular samples - with application to anesthesia evaluation
• ConceFT: concentration of frequency and time via a multitapered synchrosqueezed transform
• Financial instability contagion: a dynamical systems approach
• The synchrosqueezing transform for instantaneous spectral analysis
• Aspetti dinamici di leggi finanziarie scindibili

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Uses Software

• fda (R)

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