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Financial crashes as endogenous jumps: estimation, testing and forecasting

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Author Info
Fernandes, Marcelo

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 30 (2006)
Issue (Month): 1 (January)
Pages: 111-141
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Handle: RePEc:eee:dyncon:v:30:y:2006:i:1:p:111-141

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  1. B. Craven & Sardar Islam, 2008. "A model for stock market returns: non-Gaussian fluctuations and financial factors," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 355-370, May. [Downloadable!] (restricted)
  2. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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