Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises
David Melkuev, Danqiao Guo and Tony S. Wirjanto
| Year of publication: |
2018
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|---|---|
| Authors: | Melkuev, David ; Guo, Danqiao ; Wirjanto, Tony S. |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 2.2018, 2, p. 413-467
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| Subject: | global financial crisis | Eurozone sovereign debt crisis | Asian financial crisis | equities | bonds | CDS | contract | principal component analysis | random matrix theory | nonparametric change point analysis | Finanzkrise | Financial crisis | Nichtparametrisches Verfahren | Nonparametric statistics | Schuldenkrise | Debt crisis | Eurozone | Euro area | Kreditderivat | Credit derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2018.2.413 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012156682