I use Spectral Kurtosis and Kurtogram to study the turbulence of financial markets. I would like your advice concerning the intuition behind Spectral Kurtosis and Kurtogram.
- Financial Crisis
- Kurtogram
- Spectral Kurtosis
KURTOSIS is the measurement of the height or depth of the distribution. Although it may be used a tool.to verify shock to the system, it is not an effective tool.in that it cannot trace the after shock. Generally, after an initial shock the system returns to it's prior equilibrium. We need to verify whether the system returns to that original point? If not, what is the new equilibrium? It it doess return, how long does it take for the system to adjust? If you use kurtosis, you would have to monitor the change in kurtosis. These series of kurtosis over time can provide a picture of how the system react to the shock. One kurtosis measure does not tell much..it has limited information.
Dear Jules:
The spectral kurtosis is a useful tool for characterizing non-stationary signals, and has many applications in mechanical systems and signal processing for distinguishing between different types of signals.
Prof. Dr. Mazin A. M. Al Janabi
Full Professor of Finance & Banking and Financial Engineering
EGADE Business School, Tecnologico de Monterrey,
Santa Fe Campus, Mexico City, Mexico.
I have made somce applications in finance. Could you help for comments and discussion on my results ?
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