AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES

DOI10.1142/S021902491850022XzbMath1398.91682arXiv1506.00806OpenAlexW3125491772MaRDI QIDQ4565074

Raphaël Douady, Antoine Kornprobst

Publication date: 7 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00806

zbMATH Keywords

forecastingfinancial crisessimulation methodsquantitative finance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Quantifying Interactions in Nonlinear Feedback Dynamics: A Time Series Analysis

Cites Work

• Random matrix application to correlations amongst the volatility of assets
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