Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes

DOI10.1198/jbes.2009.06176zbMath1209.91172OpenAlexW3125102330MaRDI QIDQ5392715

Dilip B. Madan, Gurdip Bakshi, George Panayotov

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.06176

zbMATH Keywords

Lévy measure extremes limit law crashes arrival rates rallies jump structure spure-jump price processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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