Bask, Mikael; Widerberg, Anna - In: Applied Financial Economics 22 (2012) 5, pp. 339-349
The aim of this article is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the 2-year period 2007 to 2008 can be analysed with the help of (<italic>λ</italic>, <italic>σ</italic> -super-2)-analysis. In the empirical analysis, the average of the Lyapunov...