Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10281365" target="_blank" >RIV/00216208:11230/15:10281365 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/15:00434202
Result on the web
<a href="http://www.tandfonline.com/doi/abs/10.1080/14697688.2014.950319#.VFuXh4f_7a4" target="_blank" >http://www.tandfonline.com/doi/abs/10.1080/14697688.2014.950319#.VFuXh4f_7a4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/14697688.2014.950319" target="_blank" >10.1080/14697688.2014.950319</a>
Alternative languages
Result language
angličtina
Original language name
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
Original language description
This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe theory on data normalized by the estimated volatility in the second step to study possible discontinuities in the markets. We support our methodology through simulations in which we discuss the importance of stochastic noise and volatility in a deterministic cusp catastrophe model. The methodology is empirically tested on nearly 27 years of US stock market returns covering several important recessions and crisis periods. While wefind that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory was not able to confirm this behaviour in the second half. Translating the results, we find that the US stock market's downturns w
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Quantitative Finance
ISSN
1469-7688
e-ISSN
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Volume of the periodical
15
Issue of the periodical within the volume
6
Country of publishing house
GB - UNITED KINGDOM
Number of pages
15
Pages from-to
959-973
UT code for WoS article
000354128200002
EID of the result in the Scopus database
2-s2.0-84929076079