Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/15:00434202

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Quantitative Finance

ISSN

1469-7688

e-ISSN

—

Svazek periodika

15

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

15

Strana od-do

959-973

Kód UT WoS článku

000354128200002

EID výsledku v databázi Scopus

2-s2.0-84929076079