0507380 20240103222401.820190807235959.9 12 s. P cav_un_epca*02930251212-074X1828 (2011)84-95 Stochastic Catastrophe Model Cusp Model of Economy Transition Density cav_un_auth*0256753 Ekonometrie Department of Econometrics E E 100 Voříšek Jan UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. https://ideas.repec.org/a/czx/journl/v18y2011i28id172.html cav_un_auth*0253998 GD402/09/H045 GA ČR Paper focuses on an econometric model known as the cusp within standard catastrophe theory. This model allows discontinuous change in a dependent variable for a small continuous change in parameters. This model is given by stochastic di erential equation with cubic drift. The closed-form solution of density for this process is known only in the stationary case and this density belongs to the class of generalized exponential distributions, which allows for skewness, di erent tail shapes and multiple equilibria. The transition density is approximated by the finite difference method and parameters are estimated using the maximum likelihood principle. An empirical example deals with the crash known as Black Monday, where parameters of the drift are driven by market fundamentals. WOS AH 50000 50200 50202 2020 1 RVO:67985556 http://hdl.handle.net/11104/0298747 S 2011 SCOPUS PUBMED WOS cav_un_epca*0293025 Bulletin of the Czech Econometric Society 1212-074X Roč. 18 č. 28 2011 84 95