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Nonlinear dynamics and recurrence plots for detecting financial crisis

Addo, Peter Martey; Billio, Monica; Guégan, Dominique - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 416-435

Identification of financial bubbles and crisis is a topic of major concern since it is important to prevent collapses … differential entropy based method using wavelet-based surrogates. We exploit the concept of recurrence plots to study the stock … financial bubbles, which have significantly impacted economic upheavals in the past few decades. …

Persistent link: https://www.econbiz.de/10010730259

Cumulation, crash, coherency : a cryptocurrency bubble wavelet analysis

Fruehwirt, Wolfgang; Hochfilzer, Leonhard; Weydemann, … - In: Finance research letters 40 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012818919

Dating the financial cycle with uncertainty estimates : a wavelet proposition

Ardila, Diego; Sornette, Didier - In: Finance research letters 19 (2016), pp. 298-304

Persistent link: https://www.econbiz.de/10011657731

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201

Persistent link: https://www.econbiz.de/10011625108

Iterations of dependent random maps and exogeneity in nonlinear dynamics

Debaly, Zinsou Max; Truquet, Lionel - In: Econometric theory 37 (2021) 6, pp. 1135-1172

Persistent link: https://www.econbiz.de/10012704808

Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH

Ghosh, Indranil; Sanyal, Manas Kumar; Jana, R. K. - In: Computational economics 57 (2021) 2, pp. 503-527

Persistent link: https://www.econbiz.de/10012486945

A Quadratic Kalman Filter

Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume - In: Journal of econometrics 187 (2015) 1, pp. 43-56

Persistent link: https://www.econbiz.de/10011498735

Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020

Persistent link: https://www.econbiz.de/10012314239

Posterior inference on parameters in a nonlinear DSGE model via Gaussian-based filters

Noh, Sanha - In: Computational economics 56 (2020) 4, pp. 795-841

Persistent link: https://www.econbiz.de/10012390473

HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies

Buccheri, Giuseppe; Corsi, Fulvio - In: Journal of financial econometrics 19 (2021) 4, pp. 614-649

Persistent link: https://www.econbiz.de/10012654982