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A new analysis of the effects of the Asian crisis of 1997 on emergent markets
Mariani, M.C.; Liu, Y. - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 307-316
so by means of a phase transition model. We have analyzed the crashes on leading indices of Hong Kong (HSI), Turkey (XU …
Persistent link: https://www.econbiz.de/10010873570
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Stochastic modelling for financial bubbles and policy
Fry, John - In: Cogent Economics & Finance 3 (2015) 1, pp. 1-14
suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical …
Persistent link: https://www.econbiz.de/10011559100
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Stochastic modelling for financial bubbles and policy
Fry, John - In: Cogent economics & finance 3 (2015) 1, pp. 1-14
suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical …
Persistent link: https://www.econbiz.de/10010492380
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A new analysis of intermittence, scale invariance and characteristic scales applied to the behavior of financial indices near a crash
Mariani, Maria Cristina; Liu, Yang - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 345-352
This work is devoted to the study of the relation between intermittence and scale invariance, and applications to the behavior of financial indices near a crash. We developed a numerical analysis that predicts the critical date of a financial index, and we apply the model to the analysis of...
Persistent link: https://www.econbiz.de/10010874823
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Another type of log-periodic oscillations on Polish stock market
Gnaciński, Piotr; Makowiec, Danuta - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 322-325
Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of …
Persistent link: https://www.econbiz.de/10011062632
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A model of financial bubbles and drawdowns with non-local behavioral self-referencing
Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021
and crashes as market regimes with correlated negative jumps clustering over a finite period of time, our model provides a … series because they assume that crashes occur in a single large negative jump, which is counterfactual. The model estimation …
Persistent link: https://www.econbiz.de/10012800780
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Empirical investigation and modeling of a financial market after a crash
Lillo, Fabrizio; Mantegna, Rosario N. - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537695
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Origin of crashes in three US stock markets: shocks and bubbles
Johansen, Anders - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 135-142
This paper presents an exclusive classification of the largest crashes in Dow Jones industrial average, SP500 and … NASDAQ in the past century. Crashes are objectively defined as the top-rank filtered drawdowns (loss from the last local … historical volatility of the index. It is shown that all crashes can be linked to either an external shock, e.g., outbreak of war …
Persistent link: https://www.econbiz.de/10010591580
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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Dynamic semiparametric models for expected shortfall (and value-at-risk)
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - 2017
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR,...
Persistent link: https://www.econbiz.de/10011688247