Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility (Q4683034): Difference between revisions

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scientific article; zbMATH DE number 6939242

Language	Label	Description	Also known as
English	Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility	scientific article; zbMATH DE number 6939242

Statements

instance of

scholarly article

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title

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility (English)

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19 September 2018

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full work available at URL

https://arxiv.org/abs/1302.7036

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zbMATH Keywords

stochastic cusp catastrophe model

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realized volatility

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bifurcations

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stock market crash

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describes a project that uses

AS 217

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cusp

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MaRDI profile type

MaRDI publication profile

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cites work

Modeling and Forecasting Realized Volatility

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Rational panics and stock market crashes.

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Can a stochastic cusp catastrophe model explain stock market crashes?

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Generalized autoregressive conditional heteroscedasticity

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Statistical catastrophe theory: An overview

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Applications of Catastrophe Theory for Statistical Modeling in the Biosciences

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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The dip test of unimodality

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Handbook of computational economics. Vol. 2: Agent-based computational economics

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CRASHES AS CRITICAL POINTS

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Stock market crashes as social phase transitions

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A microscopic model of the stock market: cycles, booms, and crashes

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The rise and fall of catastrophe theory applications in economics: was the baby thrown out with the bathwater?

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Catastrophe theory as applied to the social and biological sciences: A critique

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Q4058507

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Transformation invariant stochastic catastrophe theory

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On the unstable behaviour of stock exchanges

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A Tale of Two Time Scales

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Identifiers

zbMATH Open document ID

1398.62280

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DOI

10.1080/14697688.2014.950319

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4683034

@@ Property / arXiv ID @@
+.7036
@@ Property / arXiv ID: 1302.7036 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Rational panics and stock market crashes.
@@ Property / cites work: Rational panics and stock market crashes. / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Can a stochastic cusp catastrophe model explain stock market crashes?
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Statistical catastrophe theory: An overview
@@ Property / cites work: Statistical catastrophe theory: An overview / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Catastrophe Theory for Statistical Modeling in the Biosciences
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+The dip test of unimodality
@@ Property / cites work: The dip test of unimodality / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of computational economics. Vol. 2: Agent-based computational economics
+Normal rank
@@ Property / cites work @@
+CRASHES AS CRITICAL POINTS
@@ Property / cites work: CRASHES AS CRITICAL POINTS / rank @@
+Normal rank
@@ Property / cites work @@
+Stock market crashes as social phase transitions
@@ Property / cites work: Stock market crashes as social phase transitions / rank @@
+Normal rank
@@ Property / cites work @@
+A microscopic model of the stock market: cycles, booms, and crashes
+Normal rank
@@ Property / cites work @@
+The rise and fall of catastrophe theory applications in economics: was the baby thrown out with the bathwater?
+Normal rank
@@ Property / cites work @@
+Catastrophe theory as applied to the social and biological sciences: A critique
+Normal rank
@@ Property / cites work @@
+Q4058507
@@ Property / cites work: Q4058507 / rank @@
+Normal rank
@@ Property / cites work @@
+Transformation invariant stochastic catastrophe theory
+Normal rank
@@ Property / cites work @@
+On the unstable behaviour of stock exchanges
@@ Property / cites work: On the unstable behaviour of stock exchanges / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank