Market-crash forecasting based on the dynamics of the alpha-stable distribution-Reference-Cited by-同舟云学术

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

Published:2020-11 Issue: Volume:557 Page:124876
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Molina-Muñoz Jesús,Mora-Valencia Andrés,Perote Javier

Funder

Uniandes, Colombia

Spanish Ministry of Economics and Competitiveness

Castilla and León Government, Spain

Colombian Department of Science, Technology and Innovation

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference75 articles.

1. Stock market crashes, firm characteristics, and stock returns;Wang;J. Bank. Financ.,2009

2. R. Flood, R.J. Hodrick, P. Kaplan, An evaluation of recent evidence on stock market bubbles, NBER Working Papers 1971, National Bureau of Economic Research, Inc, 1986.

3. Stock prices, earnings, and expected dividends;Campbell;J. Finance,1988

4. The dividend ratio model and small sample bias: A Monte Carlo study;Campbell;Econ. Lett.,1989

5. J.Y. Campbell, R.J. Shiller, Valuation ratios and the long-run stock market outlook: an update (No. W8221), National bureau of economic research, 2001.

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