Dynamic behaviors and measurements of financial market crash rate
From MaRDI portal
Publication:2161805
Recommendations
- scientific article; zbMATH DE number 5220427
- Financial crisis dynamics: attempt to define a market instability indicator
- Magnitude and speed of consecutive market crashes in a diffusion model
- The seismography of crashes in financial markets
- The geometry of crashes. A measure of the dynamics of stock market crises
- Market crashes, speculation and learning in financial markets
- DYNAMICS OF AVALANCHE ACTIVITIES IN FINANCIAL MARKETS
- MEASURING SHOCK IN FINANCIAL MARKETS
Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A Singular Perturbation Approach to Non-Markovian Escape Rate Problems
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bandwidth selection for kernel density estimation
- Capital asset pricing model (CAPM) with drawdown measure
- Coherence and anti-coherence resonance of corporation finance
- Different delays-induced regime shifts in a stochastic insect outbreak dynamics
- Effective return, risk aversion and drawdowns
- Elements for a theory of financial risks
- Escape dynamics: a continuous-time approximation
- Escape from a metastable state with fluctuating barrier
- Generalized autoregressive conditional heteroscedasticity
- Handbook of stochastic methods for physics, chemistry and natural sciences.
- Introduction to Econophysics
- Multiple cross-correlation noise induced transition in a stochastic bistable system
- On optimal data-based bandwidth selection in kernel density estimation
- On the maximum drawdown of a Brownian motion
- Predicting fluctuations-caused regime shifts in a time delayed dynamics of an invading species
- Probability distribution of returns in the Heston model with stochastic volatility
- Role of noise in a market model with stochastic volatility
- Spatio-temporal patterns in population dynamics
- The pricing of options and corporate liabilities
- The roles of mean residence time on herd behavior in a financial market
- VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
Cited in
(5)- Stability of financial market driven by information delay and liquidity in delay agent-based model
- scientific article; zbMATH DE number 5220427 (Why is no real title available?)
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- Drawdowns and the speed of market crash
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
This page was built for publication: Dynamic behaviors and measurements of financial market crash rate
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2161805)
