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Investor herding behavior and its effect on stock market boom-bust cycles

Hammami, Haifa; Boujelbene, Younes - In: The IUP journal of applied finance : IJAF 21 (2015) 1, pp. 38-53

Persistent link: https://www.econbiz.de/10011300783

A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China

Asako, Kazumi; Liu, Zhentao - In: Journal of banking & finance 37 (2013) 7, pp. 2639-2651

Persistent link: https://www.econbiz.de/10009760568

Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective

Castellano, Rosella; Scaccia, Luisa - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10010356926

Model of financial crisis contagion : a survey-based simulation by means of the modified Kaplan-Meier survival plots

Roszkowska, Paulina; Prorokowski, Łukasz - In: Folia oeconomica Stetinensia : FOS 13 (2013) 1, pp. 22-55

Persistent link: https://www.econbiz.de/10010373472

Can we predict stock market crashes?

Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195

Persistent link: https://www.econbiz.de/10011509826

Realizing stock market crashes : stochastic cusp catastrophe model of returns under time-varying volatility

Barunik, Jozef; Kukacka, Jiri - 2014

This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory … that the proposed methodology provides an important shift in the application of catastrophe theory to stock markets. …

Persistent link: https://www.econbiz.de/10010407518

Correlating stock exchange indices under both normal and financial crisis conditions

Anghelache, Gabriela-Victoria; Ciobanu, Andreea Negru - In: Theoretical and applied economics : GAER review 19 (2012) 11, pp. 75-84

Persistent link: https://www.econbiz.de/10009678237

Optimal interest rate policy during asset price booms : the mirage of "benign neglect"

Berger, Wolfram; Kißmer, Friedrich - In: Economics letters 101 (2008) 3, pp. 265-267

Persistent link: https://www.econbiz.de/10003801403

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912

Extreme asymmetric volatility : stress and aggregate asset prices

Aboura, Sofiane; Wagner, Niklas F. - In: Journal of international financial markets, … 41 (2016), pp. 47-59

Persistent link: https://www.econbiz.de/10011475918