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Crash of '87 — Was it expected? · Study

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ArticleCrash of '87 — Was it expected?

Ramazan Gençay A2009

Article2009

Crash of '87 — Was it expected?

Ramazan Gençay A · Nikola Gradojević

25 citations·0/0 files stored·Journal of Empirical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2000Post-'87 crash fears in the S&P 500 futures option market 2001The Microstructure Approach to Exchange Rates 2001An Introduction to High-Frequency Finance

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Year2009

Typearticle

Published2009-09-13

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jempfin.2009.09.006

openalex_workW1998802550

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