Realizing stock market crashes : stochastic cusp catastrophe model of returns under the time-varying volatility
Year of publication: |
2013
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Authors: | Baruník, Jozef ; Kukačka, Jiří |
Publisher: |
Prague : Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague |
Subject: | stochastic cusp catastrophe model | realized volatility | bifurcations | stock market crash | Finanzkrise | Financial crisis | Volatilität | Volatility | Nichtlineare Dynamik | Nonlinear dynamics | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Theorie | Theory |
Extent: | Online-Ressource (22 S.) graph. Darst. |
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Series: | IES working paper. - Praha : [Verlag nicht ermittelbar], ZDB-ID 2408568-6. - Vol. 19/2013 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/102577 [Handle] |
Classification: | C01 - Econometrics ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
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