Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index
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- Dominique, C-René & Rivera-Solis, Luis Eduardo, 2011. "Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index," MPRA Paper 34860, University Library of Munich, Germany.
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KeywordsMarket Collapse; Fractional Brownian Motion; Fractal Attractors; Maximum Hausdorff Dimension of Markets and Affine Profiles; Hurst Exponent; Power Spectrum Exponent; Value at Risk;
- C90 - Mathematical and Quantitative Methods - - Design of Experiments - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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