Financial crashes as endogenous jumps: estimation, testing and forecasting

DOI10.1016/J.JEDC.2004.11.005zbMATH Open1198.91234OpenAlexW2104624803MaRDI QIDQ956492FDOQ956492

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

zbMATH Keywords

splitting probabilitybistabilitygeneralized normal density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited In (7)

• Why topological data analysis detects financial bubbles?
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• 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

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