Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
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- Gençay, Ramazan & Gradojevic, Nikola, 2010. "Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 270-282, March.
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- Loretta Mastroeni & Pierluigi Vellucci, 2016. "“Butterfly Effect" vs Chaos in Energy Futures Markets," Departmental Working Papers of Economics - University 'Roma Tre' 0209, Department of Economics - University Roma Tre.
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- repec:eee:ecofin:v:42:y:2017:i:c:p:107-131 is not listed on IDEAS
- Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Butterfly Effect" vs Chaos in Energy Futures Markets," Papers 1610.05697, arXiv.org.
- Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
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More about this item
KeywordsNon-additive Entropy; Shannon Entropy; Tsallis Entropy; q-Gaussian Distribution; Skewness Premium;
- G1 - Financial Economics - - General Financial Markets
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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