On a nonlinear risk analysis for stock market indexes

DOI10.1007/S10690-007-9043-ZzbMath1186.62130OpenAlexW2069094243MaRDI QIDQ2454821

Kenjiro Suzuki, Yasunori Okabe, Takaaki Fujii

Publication date: 22 October 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9043-z

zbMATH Keywords

Abnormality graphRisk graphStationarity graphStock market crashesTest (ABN)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• The theory of KM\(_2\)O-Langevin equations and its applications to data analysis. I: Stationary analysis
• On the theory of KM\(_2\)O-Langevin equations for non-stationary and degenerate flows.
• On a nonlinear prediction analysis for multi-dimensional stochastic processes with its applications to data analysis
• A conjecture in relation to Loewner's conjecture
• On the theory of KM\(_2\)O-Langevin equations for stationary flows. I: Characterization theorem
• The theory of KM₂O-Langevin equations and its applications to data analysis (III): Deterministic analysis
• The theory of KM₂O-Langevin equations and applications to data analysis (II): Causal analysis (1)
• On the theory of \(\text{KM}_2 \text{O}\)-Langevin equations for stationary flows. II: Construction theorem
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