Now showing items 1-5 of 5
Examining the dynamical transition in the Dow Jones Industrial Index from Bull to Bear market using Recurrence Quantification Analysis
We present evidence of phase transitions (periodic to chaotic and chaotic to chaotic) in the Dow Jones Industrial Index as it transitions from Bull to Bear market. There is also evidence of a completely unpredictable (i.e., ...
Assessing the Empirical Performance of the DSGE models in the lead up to the Crisis
The global financial crisis has sparked renewed debate over the state of macroeconomic modeling, particularly in the lead up to the 2008/2009 Great Recession. The standard workhorse of macroeconomic modeling, the Dynamic ...
Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory
(National University of Ireland, Galway, 2010)
This paper is motivated by empirical evidence illustrating the non-Gaussian nature of financial returns, (Jondeau et al 2007) and analyses extreme value theory, (EVT) as a proposed improvement (Embrechts et al., 2005) for ...
An investigation into the dynamics of financial catastrophe
(Economics Working Paper, 2012)
The paper captures the dynamics of interaction between the real and the nancial sector in a model of endogenous credit that exhibits multiple steady states and generates phase transitions with catastrophic abrupt- ness. ...
Critical transitions in Eurozone sovereign bond markets
(Department of Economics, National University of Ireland, Galway, 2013)
In this paper we present empirical evidence that the sovereign bond markets may have undergone a catastrophic transition during the Eurozone debt crisis. We find evidence of a phenomenon called critical slowing down that ...