Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
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Publication:4683034
DOI10.1080/14697688.2014.950319zbMath1398.62280arXiv1302.7036OpenAlexW2099666327MaRDI QIDQ4683034
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.7036
Applications of statistics to actuarial sciences and financial mathematics (62P05) Catastrophe theory (58K35)
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Cites Work
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