On a nonlinear risk analysis for stock market indexes

DOI10.1007/s10690-007-9043-zzbMath1186.62130MaRDI QIDQ2454821

Kenjiro Suzuki, Yasunori Okabe, Takaaki Fujii

Publication date: 22 October 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9043-z

zbMATH Keywords

Abnormality graph; Risk graph; Stationarity graph; Stock market crashes; Test (ABN)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

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