Magnitude and speed of consecutive market crashes in a diffusion model
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Publication:1703022
DOI10.1007/s11009-016-9535-2zbMath1382.60065OpenAlexW2565612504MaRDI QIDQ1703022
Publication date: 1 March 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-016-9535-2
Laplace transformDoob-Meyer decompositiontime-homogeneous diffusiondrawdowngeneralized drawdown process
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