Market-crash forecasting based on the dynamics of the alpha-stable distribution

This paper investigates on the alpha-stable distribution capacity to capture the probability of market crashes by means of the dynamic forecasting of its alpha and beta parameters. On the basis of the GARCH-stable model, we design a market crash forecasting methodology that involves three-stepwise p...

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Detalles Bibliográficos
Autores principales: Molina-Muñoz, Jesús, Mora-Valencia, Andrés, Perote, Javier
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7320685/
https://www.ncbi.nlm.nih.gov/pubmed/32834434
http://dx.doi.org/10.1016/j.physa.2020.124876

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7320685/
https://www.ncbi.nlm.nih.gov/pubmed/32834434
http://dx.doi.org/10.1016/j.physa.2020.124876

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