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A New Approach for Analyzing Stock Market Stress Based on the Warsaw Stock Exchange in 2005–2019

Daniel Kosiorowski, Jerzy P. Rydlewski, Tadeusz Klecha and Dominik Mielczarek

Eastern European Economics, 2021, vol. 59, issue 4, 317-333

Abstract: 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.

Date: 2021
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DOI: 10.1080/00128775.2021.1927756

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Handle: RePEc:mes:eaeuec:v:59:y:2021:i:4:p:317-333