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q-fin.ST2008★ 24 cited
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
L. Gazola, C. Fernandes, A. Pizzinga +1
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric app…
q-fin.ST2008
From short to fat tails in financial markets: A unified description
A. A. G. Cortines, R. Riera, C. Anteneodo
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for…