The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
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Publication:978701
DOI10.1140/epjb/e2008-00085-1zbMath1189.91119arXiv0801.4341OpenAlexW2045485265MaRDI QIDQ978701
R. Riera, L. Gazola, Cristiano Fernandes, Adrian Pizzinga
Publication date: 25 June 2010
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.4341
Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Statistical methods; economic indices and measures (91B82)
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