文章基本信息

标题：Applications of random-matrix theory and nonparametric change-point analysis to three notable systemic crises
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作者：Maria Erna Kustyawati ; Filli Pratama ; Daniel Saputra 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2018
卷号：2
期号：2
页码：413-467
DOI：10.3934/QFE.2018.2.413
语种：English
出版社：AIMS Press
摘要：This paper studies association between changes in absorption ratio and aggregate market returns in three systemic crises across a broad class of assets. Time series of normalized eigenvalue estimates reveal that crises are characterized by a general breakdown of correlation structure. The structure of return correlations is nonlinear and nonstationary across di erent asset groups. So we introduce a nonparametric technique to monitor divergence in distributions underlying successive observations of normalized dominant eigenvalue of the returns. Periods of high divergence imply a change in the correlation structure of asset returns. They are found to either precede or coincide with systemic shocks. An additional parametric analysis is provided as an informal check on the results obtained in the paper.
关键词：global financial crisis;Eurozone sovereign debt crisis;Asian financial crisis;equities;bonds;CDS;contract;principal component analysis;random matrix theory;nonparametric changepoint analysis