Can a stochastic cusp catastrophe model explain stock market crashes?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F09%3A00209087" target="_blank" >RIV/00216208:11230/09:00209087 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/09:00328438

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Can a stochastic cusp catastrophe model explain stock market crashes?

Original language description

This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data. We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Economic Dynamics and Control

ISSN

0165-1889

e-ISSN

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Volume of the periodical

33

Issue of the periodical within the volume

10

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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