Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises
Year of publication: |
2018
|
---|---|
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
|
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 | Eurozone | Euro area | Schuldenkrise | Debt crisis | Währungskrise | Currency crisis |
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