scientific article; zbMATH DE number 1281927

zbMATH Open0916.90045MaRDI QIDQ4241005FDOQ4241005

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

Publication date: 29 April 1999

Title of this publication is not available (Why is that?)

Recommendations

• Expectation revisions and jumps in asset prices
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• ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH

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)

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
• Fat tails arise endogenously from supply/demand, with or without jump processes
• A simple model for market booms and crashes
• 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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