Add to ORKGThis paper uses regime-switching econometrics to study stock market crashes and to explore the ability to two very different economic explanations to account for historical crashes.STOCK MARKET;REGRESSION ANALYSIS
We use market microstructure invariance, as developed by Kyle and Obizhaeva (2011a), to examine the ...
The main objective of this study is to find out if it is possible to create a simple model that anti...
We examine whether a three-regime model that allows for dormant, explosive and collapsing speculativ...
As the stock market came to the attention of increasing numbers of physicists, an idea that has rece...
In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous ...
Studies of stock market crashes are as sparse as the occurrence ofcrashes. The mainstream theoretica...
To identify emerging interdependencies between traded stocks we investigate the behavior of the stoc...
In this paper we present an interacting-agent model of speculative activity explaining bubbles and c...
This paper analyses a set of intraday rally and crash events at the firm level during the single sto...
International audienceA number of phenomena are responsible for market crashes, but an analysis of i...
Stock Market crashes are known to spread havoc and panics in the financial world and often wipes awa...
Based on the integration of two disciplinary fields (MIS and finance), this paper focuses on the mic...
abstract: This paper seeks to emphasize how the presence of uncertainty, speculation and leverage wo...
This paper studies cross-sectional determinants of stock returns and order flow around five recent e...
We develop a rational expectations model of financial bubbles and study ways in which a generic risk...
We use market microstructure invariance, as developed by Kyle and Obizhaeva (2011a), to examine the ...
The main objective of this study is to find out if it is possible to create a simple model that anti...
We examine whether a three-regime model that allows for dormant, explosive and collapsing speculativ...
As the stock market came to the attention of increasing numbers of physicists, an idea that has rece...
In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous ...
Studies of stock market crashes are as sparse as the occurrence ofcrashes. The mainstream theoretica...
To identify emerging interdependencies between traded stocks we investigate the behavior of the stoc...
In this paper we present an interacting-agent model of speculative activity explaining bubbles and c...
This paper analyses a set of intraday rally and crash events at the firm level during the single sto...
International audienceA number of phenomena are responsible for market crashes, but an analysis of i...
Stock Market crashes are known to spread havoc and panics in the financial world and often wipes awa...
Based on the integration of two disciplinary fields (MIS and finance), this paper focuses on the mic...
abstract: This paper seeks to emphasize how the presence of uncertainty, speculation and leverage wo...
This paper studies cross-sectional determinants of stock returns and order flow around five recent e...
We develop a rational expectations model of financial bubbles and study ways in which a generic risk...
We use market microstructure invariance, as developed by Kyle and Obizhaeva (2011a), to examine the ...
The main objective of this study is to find out if it is possible to create a simple model that anti...
We examine whether a three-regime model that allows for dormant, explosive and collapsing speculativ...