Guharay, Samar K.; Thakur, Gaurav S.; Goodman, Fred J.; … - In: Economics Letters 121 (2013) 3, pp. 454-457
Novel data-driven analyses, appropriate for detecting economic instability in non-stationary time series, are developed using functional principal component analysis (fPCA) and Synchrosqueezing. fPCA is applied in a new way, aggregating multiple financial time series to identify periods of...