Empirical investigation and modeling of a financial market after a crash
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Lillo, Fabrizio ; Mantegna, Rosario N. |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Financial markets | crashes | GARCH | risk management |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 339 |
| Classification: | C10 - Econometric and Statistical Methods: General. General ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
| Source: |
Persistent link: https://www.econbiz.de/10005537695