Financial crashes as endogenous jumps: estimation, testing and forecasting

DOI10.1016/J.JEDC.2004.11.005zbMath1198.91234OpenAlexW2104624803MaRDI QIDQ956492

Marcelo Fernandes

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.005

zbMATH Keywords

bistabilitysplitting probabilitygeneralized normal density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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