Matches in SemOpenAlex for { <https://semopenalex.org/work/W1513010979> ?p ?o ?g. }
- W1513010979 abstract "We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around earthquakes. Our model is incorporated in an Early Warning System for future crash days. Testing our EWS on S&P 500 data during the recent financial crisis, we find positive Hanssen-Kuiper Skill Scores. Furthermore our modeling framework is capable of exploiting information in the returns series not captured by well known and commonly used volatility models. EWS based on our models outperform EWS based on the volatility models forecasting extreme price movements, while forecasting is much less time-consuming." @default.
- W1513010979 created "2016-06-24" @default.
- W1513010979 creator A5043282831 @default.
- W1513010979 creator A5044565441 @default.
- W1513010979 creator A5064321959 @default.
- W1513010979 date "2014-06-03" @default.
- W1513010979 modified "2023-09-27" @default.
- W1513010979 title "Interpreting Financial Market Crashes as Earthquakes" @default.
- W1513010979 cites W1488024717 @default.
- W1513010979 cites W1968355813 @default.
- W1513010979 cites W1982265305 @default.
- W1513010979 cites W1992761800 @default.
- W1513010979 cites W2007839873 @default.
- W1513010979 cites W2028944227 @default.
- W1513010979 cites W2029549899 @default.
- W1513010979 cites W2050238052 @default.
- W1513010979 cites W2056046055 @default.
- W1513010979 cites W2064758233 @default.
- W1513010979 cites W2071170374 @default.
- W1513010979 cites W2085512286 @default.
- W1513010979 cites W2091473165 @default.
- W1513010979 cites W2100011707 @default.
- W1513010979 cites W2109275736 @default.
- W1513010979 cites W3121651973 @default.
- W1513010979 cites W3122175640 @default.
- W1513010979 cites W3124690764 @default.
- W1513010979 cites W3125696988 @default.
- W1513010979 cites W3126099958 @default.
- W1513010979 cites W3143394208 @default.
- W1513010979 cites W45903167 @default.
- W1513010979 hasPublicationYear "2014" @default.
- W1513010979 type Work @default.
- W1513010979 sameAs 1513010979 @default.
- W1513010979 citedByCount "0" @default.
- W1513010979 crossrefType "journal-article" @default.
- W1513010979 hasAuthorship W1513010979A5043282831 @default.
- W1513010979 hasAuthorship W1513010979A5044565441 @default.
- W1513010979 hasAuthorship W1513010979A5064321959 @default.
- W1513010979 hasConcept C10138342 @default.
- W1513010979 hasConcept C106159729 @default.
- W1513010979 hasConcept C127313418 @default.
- W1513010979 hasConcept C139719470 @default.
- W1513010979 hasConcept C143724316 @default.
- W1513010979 hasConcept C149782125 @default.
- W1513010979 hasConcept C151730666 @default.
- W1513010979 hasConcept C162324750 @default.
- W1513010979 hasConcept C166957645 @default.
- W1513010979 hasConcept C183469790 @default.
- W1513010979 hasConcept C19244329 @default.
- W1513010979 hasConcept C199360897 @default.
- W1513010979 hasConcept C205649164 @default.
- W1513010979 hasConcept C2777209242 @default.
- W1513010979 hasConcept C2778300220 @default.
- W1513010979 hasConcept C2779343474 @default.
- W1513010979 hasConcept C2780299701 @default.
- W1513010979 hasConcept C29825287 @default.
- W1513010979 hasConcept C2988984586 @default.
- W1513010979 hasConcept C41008148 @default.
- W1513010979 hasConcept C76155785 @default.
- W1513010979 hasConcept C91602232 @default.
- W1513010979 hasConceptScore W1513010979C10138342 @default.
- W1513010979 hasConceptScore W1513010979C106159729 @default.
- W1513010979 hasConceptScore W1513010979C127313418 @default.
- W1513010979 hasConceptScore W1513010979C139719470 @default.
- W1513010979 hasConceptScore W1513010979C143724316 @default.
- W1513010979 hasConceptScore W1513010979C149782125 @default.
- W1513010979 hasConceptScore W1513010979C151730666 @default.
- W1513010979 hasConceptScore W1513010979C162324750 @default.
- W1513010979 hasConceptScore W1513010979C166957645 @default.
- W1513010979 hasConceptScore W1513010979C183469790 @default.
- W1513010979 hasConceptScore W1513010979C19244329 @default.
- W1513010979 hasConceptScore W1513010979C199360897 @default.
- W1513010979 hasConceptScore W1513010979C205649164 @default.
- W1513010979 hasConceptScore W1513010979C2777209242 @default.
- W1513010979 hasConceptScore W1513010979C2778300220 @default.
- W1513010979 hasConceptScore W1513010979C2779343474 @default.
- W1513010979 hasConceptScore W1513010979C2780299701 @default.
- W1513010979 hasConceptScore W1513010979C29825287 @default.
- W1513010979 hasConceptScore W1513010979C2988984586 @default.
- W1513010979 hasConceptScore W1513010979C41008148 @default.
- W1513010979 hasConceptScore W1513010979C76155785 @default.
- W1513010979 hasConceptScore W1513010979C91602232 @default.
- W1513010979 hasLocation W15130109791 @default.
- W1513010979 hasOpenAccess W1513010979 @default.
- W1513010979 hasPrimaryLocation W15130109791 @default.
- W1513010979 hasRelatedWork W1496500422 @default.
- W1513010979 hasRelatedWork W156356042 @default.
- W1513010979 hasRelatedWork W2046987389 @default.
- W1513010979 hasRelatedWork W2124990818 @default.
- W1513010979 hasRelatedWork W2171952765 @default.
- W1513010979 hasRelatedWork W2299793898 @default.
- W1513010979 hasRelatedWork W2395786628 @default.
- W1513010979 hasRelatedWork W2777089339 @default.
- W1513010979 hasRelatedWork W2974815444 @default.
- W1513010979 hasRelatedWork W2982507359 @default.
- W1513010979 hasRelatedWork W3122584955 @default.
- W1513010979 hasRelatedWork W3122689787 @default.
- W1513010979 hasRelatedWork W3123797285 @default.
- W1513010979 hasRelatedWork W3124461280 @default.
- W1513010979 hasRelatedWork W3125767074 @default.