0434202 20240103204932.120150310235959.9 000354128200002 84929076079 10.1080/14697688.2014.950319 15 s. P cav_un_epca*00398981469-7688156 (2015)959-973 Stochastic cusp catastrophe model Realized volatility Bifurcations Stock market crash cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics A 80 Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0293468 Kukačka Jiří Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics 20 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/barunik-0434202.pdf 612955 EC cav_un_auth*0308905 GA402/09/0965 GA ČR cav_un_auth*0253176 GA13-32263S GA ČR cav_un_auth*0292677 This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe theory on data normalized by the estimated volatility in the second step to study possible discontinuities in the markets. We support our methodology through simulations in which we discuss the importance of stochastic noise and volatility in a deterministic cusp catastrophe model. The methodology is empirically tested on nearly 27 years of US stock market returns covering several important recessions and crisis periods. While we find that the stock markets showed signs of bifurcation in the first half of the period, catastrophe theory was not able to confirm this behaviour in the second half. 2016 AH 2 4 A 4a 20231122140548.3 RVO:67985556 http://hdl.handle.net/11104/0238360 S MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS|BUSINESS.FINANCE|ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS 1.065 0.367 6.4 0.00606 0.633 1503 0.603 Q1 0.680 128 Q3 43.64 37.8 Q3 Q2 47.391 2015 Soubory v repozitáři: barunik-0434202.pdf 84929076079 SCOPUS 000354128200002 WOS cav_un_epca*0039898 Quantitative Finance 1469-7688 1469-7696 Roč. 15 č. 6 2015 959 973