Financial crashes as endogenous jumps: estimation, testing and forecasting
From MaRDI portal
Publication:956492
DOI10.1016/j.jedc.2004.11.005zbMath1198.91234OpenAlexW2104624803MaRDI QIDQ956492
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.11.005
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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