Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

DOI10.1080/14697688.2014.950319zbMath1398.62280arXiv1302.7036OpenAlexW2099666327MaRDI QIDQ4683034

Jiri Kukacka, Jozef Barunik

Publication date: 19 September 2018

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

Full work available at URL: https://arxiv.org/abs/1302.7036

zbMATH Keywords

bifurcationsrealized volatilitystock market crashstochastic cusp catastrophe model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Catastrophe theory (58K35)

Related Items (2)

Estimation of financial agent-based models with simulated maximum likelihood ⋮ Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality

Uses Software

• AS 217
• cusp

Cites Work

• Unnamed Item
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• Modeling and Forecasting Realized Volatility
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• A Tale of Two Time Scales

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