Large-scale forecasting of large fluctuations using wavelet coherence and multifractal behavior and developing wavelet coherence for multiple time series

Oygur, Tunç

Shocks, jumps, booms, and busts are typical large fluctuation markers that appear in crisis. Identifying financial crises and estimating leading indicators with strong relations during crisis periods have an essential role in the literature. This thesis examines the dynamic co-movements of leading indicators' multifractal features to identify financial crises due to large fluctuations. The detected dynamic relationships predict leading indicators with scale-by-scale analysis and make large-scale predictions better than challenger models. As a natural result of these studies, the n-dimensional ...Daha fazlası