A New Approach for Analyzing Stock Market Stress Based on the Warsaw Stock Exchange in 2005–2019
Jerzy P. Rydlewski,
Tadeusz Klecha and
Eastern European Economics, 2021, vol. 59, issue 4, 317-333
In this paper, we propose the use of a novel approach for measuring stresses in capital. Our proposal relies on a framework offered by the statistical theory of shape. We describe a stress function based on the concept of a mean shape determined by representative particles of a capital carrier as well as changes in the amount and structure of stresses in capital, employing, among others, Bookstein’s pair of thin plain spline deformation, and a measurement of shape variability. We propose a robust approach for estimating the stress functional based on the concept of data depth.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mes:eaeuec:v:59:y:2021:i:4:p:317-333
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Eastern European Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().