Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises

Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises

This paper studies association between changes in absorption ratio and aggregate market returns in three systemic crises across a broad class of assets. Time series of normalized eigenvalue estimates reveal that crises are characterized by a general breakdown of correlation structure. The structure...

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Bibliographic Details
Main Authors: David Melkuev, Danqiao Guo, Tony S. Wirjanto
Format: Article
Language:English
Published: AIMS Press 2018-06-01
Series:Quantitative Finance and Economics
Subjects:
global financial crisis| Eurozone sovereign debt crisis| Asian financial crisis| equities|bonds| CDS| contract| principal component analysis| random matrix theory| nonparametric changepoint analysis
Online Access:http://www.aimspress.com/article/10.3934/QFE.2018.2.413/fulltext.html

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http://www.aimspress.com/article/10.3934/QFE.2018.2.413/fulltext.html

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