Matches in SemOpenAlex for { <https://semopenalex.org/work/W2104624803> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2104624803 endingPage "141" @default.
- W2104624803 startingPage "111" @default.
- W2104624803 abstract "Abstract This paper provides an econometric approach for forecasting financial crashes based on diffusion processes with time-varying parameters that are driven by market fundamentals. Under a polynomial drift function, one obtains a cusp stochastic process that entails a generalized exponential stationary distribution. This class of densities is quite convenient as it allows for skewness, different tail shapes and even multimodality, which corresponds to multiple equilibria. Movements from one equilibrium to another, due to changes in the market fundamentals, then relates to crashes. Methods for fitting and evaluating this sort of diffusion processes are proposed to enable the estimation and forecast of crash events. Finally, an empirical assessment is carried out by tracking the likelihood of a crash during the Swedish twin crises in the early 1990s." @default.
- W2104624803 created "2016-06-24" @default.
- W2104624803 creator A5063383193 @default.
- W2104624803 date "2006-01-01" @default.
- W2104624803 modified "2023-10-16" @default.
- W2104624803 title "Financial crashes as endogenous jumps: estimation, testing and forecasting" @default.
- W2104624803 cites W1574744811 @default.
- W2104624803 cites W1905538216 @default.
- W2104624803 cites W1976388777 @default.
- W2104624803 cites W1995391730 @default.
- W2104624803 cites W2006128341 @default.
- W2104624803 cites W2023140731 @default.
- W2104624803 cites W2029707941 @default.
- W2104624803 cites W2043967969 @default.
- W2104624803 cites W2053260143 @default.
- W2104624803 cites W2065900167 @default.
- W2104624803 cites W2089533777 @default.
- W2104624803 cites W2089887770 @default.
- W2104624803 cites W2098754649 @default.
- W2104624803 cites W2101849705 @default.
- W2104624803 cites W2103905988 @default.
- W2104624803 cites W2105059909 @default.
- W2104624803 cites W2112352537 @default.
- W2104624803 cites W2112559425 @default.
- W2104624803 cites W2112885175 @default.
- W2104624803 cites W2117178635 @default.
- W2104624803 cites W2129196161 @default.
- W2104624803 cites W2129756960 @default.
- W2104624803 cites W2148554492 @default.
- W2104624803 cites W2157403008 @default.
- W2104624803 cites W2174346083 @default.
- W2104624803 cites W2954809688 @default.
- W2104624803 cites W3021444882 @default.
- W2104624803 cites W3122467650 @default.
- W2104624803 cites W3123173808 @default.
- W2104624803 cites W3124497024 @default.
- W2104624803 cites W3125101120 @default.
- W2104624803 cites W3125856767 @default.
- W2104624803 cites W4232675814 @default.
- W2104624803 cites W4255165986 @default.
- W2104624803 cites W4255285125 @default.
- W2104624803 cites W4289256118 @default.
- W2104624803 cites W4375802671 @default.
- W2104624803 cites W3123055554 @default.
- W2104624803 doi "https://doi.org/10.1016/j.jedc.2004.11.005" @default.
- W2104624803 hasPublicationYear "2006" @default.
- W2104624803 type Work @default.
- W2104624803 sameAs 2104624803 @default.
- W2104624803 citedByCount "17" @default.
- W2104624803 countsByYear W21046248032014 @default.
- W2104624803 countsByYear W21046248032016 @default.
- W2104624803 countsByYear W21046248032019 @default.
- W2104624803 countsByYear W21046248032021 @default.
- W2104624803 countsByYear W21046248032023 @default.
- W2104624803 crossrefType "journal-article" @default.
- W2104624803 hasAuthorship W2104624803A5063383193 @default.
- W2104624803 hasConcept C10138342 @default.
- W2104624803 hasConcept C149782125 @default.
- W2104624803 hasConcept C162324750 @default.
- W2104624803 hasConcept C187736073 @default.
- W2104624803 hasConcept C96250715 @default.
- W2104624803 hasConceptScore W2104624803C10138342 @default.
- W2104624803 hasConceptScore W2104624803C149782125 @default.
- W2104624803 hasConceptScore W2104624803C162324750 @default.
- W2104624803 hasConceptScore W2104624803C187736073 @default.
- W2104624803 hasConceptScore W2104624803C96250715 @default.
- W2104624803 hasIssue "1" @default.
- W2104624803 hasLocation W21046248031 @default.
- W2104624803 hasOpenAccess W2104624803 @default.
- W2104624803 hasPrimaryLocation W21046248031 @default.
- W2104624803 hasRelatedWork W1973538245 @default.
- W2104624803 hasRelatedWork W2030617584 @default.
- W2104624803 hasRelatedWork W2049919635 @default.
- W2104624803 hasRelatedWork W2056210026 @default.
- W2104624803 hasRelatedWork W2098138817 @default.
- W2104624803 hasRelatedWork W2157864663 @default.
- W2104624803 hasRelatedWork W2161519270 @default.
- W2104624803 hasRelatedWork W3149328373 @default.
- W2104624803 hasRelatedWork W331667891 @default.
- W2104624803 hasRelatedWork W2142213187 @default.
- W2104624803 hasVolume "30" @default.
- W2104624803 isParatext "false" @default.
- W2104624803 isRetracted "false" @default.
- W2104624803 magId "2104624803" @default.
- W2104624803 workType "article" @default.