Detecting global financial crises with scarce data by multivariate nonlinear filtering
An original procedure is devised for the automated detection of global financial crises from multivariate databases of share prices. It consists of: i) the construction of time series from the time-windowed estimations of crisis relevant information (cross-correlations or volatilities); ii) the piec...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
IOP Publishing
2025-01-01
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| Series: | Journal of Physics: Complexity |
| Subjects: | |
| Online Access: | https://doi.org/10.1088/2632-072X/ade948 |
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