Is volatility the best predictor of market crashes?
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Publication:816771
DOI10.1007/s10690-005-6009-xzbMath1137.91476OpenAlexW2033464970MaRDI QIDQ816771
Publication date: 23 February 2006
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-005-6009-x
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Cites Work
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- Generalized autoregressive conditional heteroscedasticity
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Continuous Auctions and Insider Trading
- Modelling the persistence of conditional variances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Maximization by Quadratic Hill-Climbing
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