scientific article; zbMATH DE number 1281927

MaRDI QIDQ4241005zbMATH OpenFDO

Authors G. C. Lim, Vance Martin, Leslie E. Teo

Publication date 29 April 1999

zbMATH Keywords

forecastingasset price dynamicslarge jumps in stock prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Recommendations

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Cited in

(8)

• Multifrequency jump-diffusions: An equilibrium approach
• Asset pricing with endogeneous aspirations
• Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
• A simple model for market booms and crashes
• Fat tails arise endogenously from supply/demand, with or without jump processes
• ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH
• Incomplete financial markets and jumps in asset prices
• Financial crashes as endogenous jumps: estimation, testing and forecasting

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