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

Latest revision as of 14:52, 16 July 2024

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

0 references

title

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

0 references

0 references

0 references

0 references

19 September 2018

0 references

full work available at URL

https://arxiv.org/abs/1302.7036

0 references

zbMATH Keywords

stochastic cusp catastrophe model

0 references

realized volatility

0 references

bifurcations

0 references

stock market crash

0 references

describes a project that uses

AS 217

0 references

cusp

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Modeling and Forecasting Realized Volatility

0 references

Rational panics and stock market crashes.

0 references

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

0 references

Can a stochastic cusp catastrophe model explain stock market crashes?

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

Statistical catastrophe theory: An overview

0 references

Applications of Catastrophe Theory for Statistical Modeling in the Biosciences

0 references

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

0 references

The dip test of unimodality

0 references

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

0 references

CRASHES AS CRITICAL POINTS

0 references

Stock market crashes as social phase transitions

0 references

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

0 references

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

0 references

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

0 references

Q4058507

0 references

Transformation invariant stochastic catastrophe theory

0 references

On the unstable behaviour of stock exchanges

0 references

A Tale of Two Time Scales

0 references

Identifiers

zbMATH Open document ID

1398.62280

0 references

DOI

10.1080/14697688.2014.950319

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4683034

@@ Property / OpenAlex ID @@
+W2099666327
@@ Property / OpenAlex ID: W2099666327 / rank @@
+Normal rank
@@ 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