Analysis of non-stationary dynamics in the financial system

DOI10.1016/j.econlet.2013.09.026zbMath1288.91197OpenAlexW3124438845MaRDI QIDQ2453048

Fred J. Goodman, Samar K. Guharay, Scott L. Rosen, Daniel Houser, Gaurav Thakur

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

non-stationary time seriesfunctional PCAsynchrosqueezingdetection of macroeconomic instabilitymulti-time scale characteristics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (4)

ConceFT: concentration of frequency and time via a multitapered synchrosqueezed transform ⋮ The Synchrosqueezing transform for instantaneous spectral analysis ⋮ Wave-shape function analysis. When cepstrum meets time-frequency analysis ⋮ Real-time dynamics acquisition from irregular samples — With application to anesthesia evaluation

Uses Software

• fda (R)

Cites Work

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

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