| bibtype |
J -
Journal Article
|
| ARLID |
0328438 |
| utime |
20240103192000.4 |
| mtime |
20090915235959.9 |
| WOS |
000270115700007 |
| DOI |
10.1016/j.jedc.2009.04.004 |
| title
(primary) (eng) |
Can a stochastic cusp catastrophe model explain stock market crashes? |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0251195 |
| ISSN |
0165-1889 |
| title
|
Journal of Economic Dynamics & Control |
| volume_id |
33 |
| volume |
10 (2009) |
| page_num |
1824-1836 |
| publisher |
|
|
| title
(cze) |
Pomůže nám stochastická cusp teorie katastrof vysvětlit krachy na světových trzích? |
| keyword |
Stochastic cusp catastrophe |
| keyword |
Bifurcations |
| keyword |
Singularity |
| keyword |
Nonlinear dynamics |
| keyword |
Stock market crash |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| cas_special |
| project |
| project_id |
46108 |
| agency |
GAUK |
| country |
CZ |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data. We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. |
| abstract
(cze) |
Tento článek je prvním pokusem použít stochastickou teorii cusp katastrof na reálných datech z finančních trhů. Ukazujeme, že model cusp katastrof dokáže vysvětlit krachy finančních trhů mnohem lépe, než ostatní modely. |
| reportyear |
2010 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0174753 |
| mrcbT16-q |
47 |
| mrcbT16-s |
1.436 |
| mrcbT16-y |
33.24 |
| mrcbT16-x |
1.26 |
| arlyear |
2009 |
| mrcbU34 |
000270115700007 WOS |
| mrcbU63 |
cav_un_epca*0251195 Journal of Economic Dynamics & Control 0165-1889 1879-1743 Roč. 33 č. 10 2009 1824 1836 Elsevier |
|