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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2020
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| Materias: | |
| 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 |