I am analyzing past financial crises, comparing the correlation structure amongst 20 broad market indices (equities, FX, credit, commodities) during different crises using amongst other things PCA and random matrix theory.
For every crisis I want to compare the pre-crises matrix to the crisis matrix. It is normally quite easy to identify the start date of a crisis given the discontinuous jumps but it is much harder to nail down the end date of a crisis. Everything I think of seems very subjective.
Anyone have any ideas of a more objective way to identify the end dates of past crises?