Financial crashes as endogenous jumps: estimation, testing and forecasting
DOI10.1016/J.JEDC.2004.11.005zbMATH Open1198.91234OpenAlexW2104624803MaRDI QIDQ956492FDOQ956492
Authors: Marcelo Fernandes 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.005
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Cited In (9)
- Why topological data analysis detects financial bubbles?
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- Bayesian log-periodic model for financial crashes
- ENDOGENOUS DOWNWARD JUMP DIFFUSION AND BLOW UP PHENOMENA BEFORE CRASH
- Instance-based credit risk assessment for investment decisions in P2P lending
- A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- Stochastic cusp catastrophe model and its Bayesian computations
- Is volatility the best predictor of market crashes?
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