Identifying historical financial crisis: Bayesian stochastic search variable selection in logistic regression
This work investigates the factors that contribute to financial crises. We first study the Dow Jones index performance by grouping the daily adjusted closing value into a two-month window and finding several critical quantiles in each window. Then, we identify severe downturn in these quantiles and...
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| Format: | Others |
| Language: | English |
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2010
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| Online Access: | http://hdl.handle.net/2152/ETD-UT-2009-08-353 |