Similar Search Results

Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Addo, Peter Martey; Billio, Monica; Guegan, Dominique - HAL - 2013

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/10010635221

Understanding Exchange Rates Dynamics

Addo, Peter Martey; Billio, Monica; Guegan, Dominique - HAL - 2013

With the emergence of the chaos theory and the method of surrogates data, nonlinear approaches employed in analysing … used in the DVV analysis are obtain via differential entropy based method using wavelet-based surrogates. A comprehensive …

Persistent link: https://www.econbiz.de/10010635079

A multi-horizon scale for volatility

Subbotin, Alexander - HAL - 2008

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for valatilities, analogous to the Richter scale in geophysics. The peak-over-threshold method is used to fit the generalized Pareto probability distribution for the...

Persistent link: https://www.econbiz.de/10010750636

Turning point chronology for the Euro-Zone: A Distance Plot Approach

Addo, Peter Martey; Billio, Monica; Guegan, Dominique - HAL - 2013

We propose a transparent way of establishing a turning point chronology for the Euro-zone business cycle. Our analysis is achieve by exploiting the concept of recurrence plots, in this case distance plot, to characterize and detect turning points in the business cycle for any economic system....

Persistent link: https://www.econbiz.de/10010635040

A re-visit to Minsky after 2007 financial meltdown

Ghani, Shazia - HAL - 2011

The 2007 financial crises has brought to eminence and a long overdue recognition to the ideas of Hyman P. Minsky who is a post-Keynesian authority on monetary theory and financial institutions. He had extensively studied the economic fluctuations and recurring instability of the financial system...

Persistent link: https://www.econbiz.de/10010820974

Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments

Ahamada, Ibrahim; Jolivaldt, Philippe - HAL - 2008

Test for unit root based in wavelets theory is recently defined (Genay and Fan, 2007). While the new test is supposed … the power. We found also that both the wavelets unit root test and ADF test give the same efficiency if the data are …

Persistent link: https://www.econbiz.de/10010750946

Estimation of the long memory parameter in non stationary models: A Simulation Study

Boutahar, Mohamed; Khalfaoui2, Rabeh - HAL - 2011

In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for the long memory fractional parameter. We study the efficiency of Geweke and Porter-Hudak, Gaussian semiparametric and wavelet Ordinary Least-Square estimates in both stationary and non stationary...

Persistent link: https://www.econbiz.de/10009025290

Probability density of the wavelet coefficients of a noisy chaos

Garcin, Matthieu; Guegan, Dominique - HAL - 2013

We are interested in the random wavelet coefficients of a noisy signal when this signal is the unidimensional or multidimensional attractor of a chaos. More precisely we give an expression for the probability density of such coefficients. If the noise is a dynamic noise, then our expression is...

Persistent link: https://www.econbiz.de/10010635163

Comparaison of Several Estimation Procedures for Long Term Behavior

Guegan, Dominique; Lu, Zhiping; Zhu, Beijia - HAL - 2012

In this paper, nine memory parameter estimation procedures for the fractionally integrated I(d) process, semi-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p,d,q) setting we cast a light on the finite sample...

Persistent link: https://www.econbiz.de/10010635188

Classical vs wavelet-based filters Comparative study and application to business cycle

Ahamada, Ibrahim; Jolivaldt, Philippe - HAL - 2010

based on the multi-resolution properties of wavelets. We show that overall the three methods remain comparable if the … based on wavelets provides information about the business cycle, for example, its stability over time which the other two …

Persistent link: https://www.econbiz.de/10010603666