Leverage causes fat tails and clustered volatility
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Publication:2869960
DOI10.1080/14697688.2012.674301zbMath1278.91154arXiv0908.1555OpenAlexW3125264555WikidataQ56689100 ScholiaQ56689100MaRDI QIDQ2869960
J. Doyne Farmer, John D. Geanakoplos, Stefan Thurner
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.1555
Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Portfolio theory (91G10)
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Cites Work
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- Institutional Investors and Stock Market Volatility
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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