Origin of Crashes in 3 US stock markets: Shocks and Bubbles
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- Rotundo, Giulia & Navarra, Mauro, 2007. "On the maximum drawdown during speculative bubbles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 235-246.
- Fry, J. M., 2009.
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- Lin, L. & Ren, R.E. & Sornette, D., 2014. "The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 210-225.
- Fry, J. M., 2010. "Gaussian and non-Gaussian models for financial bubbles via econophysics," MPRA Paper 27307, University Library of Munich, Germany.
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- Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
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