Vakhtina, Elena; Wosnitza, Jan Henrik - In: Physica A: Statistical Mechanics and its Applications 417 (2015) C, pp. 304-320
In this investigation, we examine the univariate as well as the multivariate capabilities of the log-periodic [super-exponential] power law (LPPL) for the prediction of bank runs. The research is built upon daily CDS spreads of 40 international banks for the period from June 2007 to March 2010,...