We propose a general framework for measuring short and long term dynamics in asset classes based on the wavelet presentation of clustering analysis. The empirical results show strong evidence of instability of the financial system aftermath of the global financial crisis. Indeed, both short and long-term dynamics have significantly changed after the global financial crisis. This study provides an interesting insights complex structure of global financial and economic system. (C) 2017 Elsevier B.V. All rights reserved.
Funding Agencies|Jan Wallanders and Tom Hedelius Foundation [W2016-0364:1]