Analysis of non-stationary dynamics in the financial system
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- Samar K. Guharay & Gaurav S. Thakur & Fred J. Goodman & Scott L. Rosen & Daniel Houser, 2016. "Integrated data-driven analytics to identify instability signatures in nonstationary financial time series," Applied Economics, Taylor & Francis Journals, vol. 48(18), pages 1678-1694, April.
More about this item
KeywordsNon-stationary time series; Functional PCA; Synchrosqueezing; Multi-time scale characteristics; Detection of macroeconomic instability;
- G01 - Financial Economics - - General - - - Financial Crises
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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