An index of market shocks based on multiscale analysis*

DOI10.1088/1469-7688/3/2/303zbMath1405.91749OpenAlexW2157331075WikidataQ125966867 ScholiaQ125966867MaRDI QIDQ4647246

Thierry Michel, Bertrand Maillet

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/2/303

zbMATH Keywords

financial crisesmarket shock index

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (1)

Gutenberg-Richter law for Internetquakes

Uses Software

• QSIMVN

Cites Work

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• ``Slimming of power-law tails by increasing market returns
• Multifractal analysis of Hang Seng index in Hong Kong stock market
• Temporal Aggregation of Garch Processes
• MEASURING SHOCK IN FINANCIAL MARKETS

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