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

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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)

Cites Work

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Cited In (14)

• A Dynamic Taylor’s law
• Title not available (Why is that?)
• Modeling maxima with autoregressive conditional Fréchet model
• A simple model of evolution to equilibrium between two power branches
• Extreme Value Estimation for Heterogeneous Data
• Power vs. logarithmic model of Fitts’ law: a mathematical analysis
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• The power piecewise exponential model
• The complementary exponential power lifetime model
• A long-run risks model of asset pricing with fat tails
• Continuous elliptical and exponential power linear dynamic models
• Power-law solutions for TeVeS
• Dynamic tail inference with log-Laplace volatility
• Power-law behaviour in time durations between extreme returns

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