The dynamic power law model

DOI10.1007/S10687-014-0193-XzbMATH Open1311.62175OpenAlexW3123281220MaRDI QIDQ482073FDOQ482073

Authors Bryan Kelly

Publication date 19 December 2014

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-014-0193-x

zbMATH Keywords

power lawfinanceasset pricescrashtail risk

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

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• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance

Cited in

(16)

• US stock returns: are there seasons of excesses?
• A long-run risks model of asset pricing with fat tails
• A Dynamic Taylor’s law
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Power-law solutions for TeVeS
• The complementary exponential power lifetime model
• Power vs. logarithmic model of Fitts’ law: a mathematical analysis
• Right tail information and asset pricing
• Dynamic tail inference with log-Laplace volatility
• Continuous elliptical and exponential power linear dynamic models
• Modeling maxima with autoregressive conditional Fréchet model
• scientific article; zbMATH DE number 5732563 (Why is no real title available?)
• A simple model of evolution to equilibrium between two power branches
• The power piecewise exponential model
• Power-law behaviour in time durations between extreme returns
• Extreme Value Estimation for Heterogeneous Data

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