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Empirical investigation and modeling of a financial market after a crash

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Author Info
Fabrizio Lillo
Rosario N. Mantegna
Abstract

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 339.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:339

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Related research
Keywords: Financial markets; crashes; GARCH; risk management;

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

Statistics
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This page was last updated on 2009-12-9.


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