MEASURING SHOCK IN FINANCIAL MARKETS

DOI10.1142/S0219024900000188zbMath0970.91027OpenAlexW2040911916MaRDI QIDQ4521251

Michel M. Dacorogna, Jørgen L. Olsen, Gilles Zumbach, Richard B. Olsen

Publication date: 19 December 2000

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000188

zbMATH Keywords

foreign exchange marketprice volatilitiesscale of market shocks

Mathematics Subject Classification ID

Related Items (6)

An index of market shocks based on multiscale analysis* ⋮ Market heterogeneities and the causal structure of volatility ⋮ Optimal approximations of power laws with exponentials: application to volatility models with long memory ⋮ Evolutionary model of stock markets ⋮ Stock market scale by artificial insymmetrized patterns ⋮ The scale of market quakes

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