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Uncertainty and durable consumption in the great depression

Ejarque, João - 1997

Persistent link: https://www.econbiz.de/10000960754

Self-exciting extreme value models for stock market crashes

Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009

Persistent link: https://www.econbiz.de/10003781013

How crashes develop : intradaily volatility and crash evolution

Bates, David S. - 2016

Persistent link: https://www.econbiz.de/10011451109

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Were financial crises predictable?

Canova, Fabio - In: Journal of money, credit and banking : JMCB 26 (1994) 1, pp. 102-124

Persistent link: https://www.econbiz.de/10001162946

Forecasting crash risk in U.S. bank returns : the role of credit booms

Mihai, Marius M.; Mansur, Iqbal - In: The journal of corporate finance : contracting, … 76 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013494275

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation

Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291

Persistent link: https://www.econbiz.de/10009488255

Disequilibria and contagion in financial markets : evidence from a new test

De Angelis, Luca; Gardini, Attilio - In: Journal of applied economics 18 (2015) 2, pp. 247-265

Persistent link: https://www.econbiz.de/10011554982

Asset prices, booms and recessions : financial economics from a dynamic perspective

Semmler, Willi - 2006 - 2nd ed.

Theory: CAPM and Extensions.- Consumption Based Asset Pricing Models.- Production Based Asset Pricing Models. Foreign … international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and …

Persistent link: https://www.econbiz.de/10003139161

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