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Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
16 references·1 citing·47 second hop
Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes (2015)Interpreting financial market crashes as …Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Preprint repository arXiv achieves milestone million uploads (2014)Preprint repository arXiv ach…Quantifying reflexivity in financial markets: Toward a prediction of flash crashes (2012)Quantifying reflexivity in fi…Handbook of Financial Time Series (2010)Handbook of Financial Time Se…Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Modelling security market eve…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Estimating value-at-risk: a point process approach (2005)Estimating value-at-risk: a p…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Critical market crashes (2003)Critical market crashesA comparison of financial duration models via density forecasts (2003)A comparison of financial dur…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyForecasting: theory and practice (2022)Forecasting: theory and pract…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Contagion in Mass Killings and School Shootings (2015)Hawkes Processes in Finance (2015)Fuzzy sets (1965)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)User Acceptance of Computer Technology: A Comparison of Two Theoretical Models (1989)Deep Learning for Time Series Forecasting: Tutorial and Literature Survey (2022)Forecast combinations: An over 50-year review (2022)Forecast evaluation for data scientists: common pitfalls and best practices (2022)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)Affine Point Processes and Portfolio Credit Risk (2010)Dividend yields and expected stock returns (1988)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Investigating the Behavior of Idiosyncratic Volatility* (2003)A multiple indicators model for volatility using intra-daily data (2005)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)
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  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,878 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
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  • 2014Preprint repository arXiv achieves milestone million uploads313 cited
  • 2012Quantifying reflexivity in financial markets: Toward a prediction of flash crashes241 cited
  • 2010Handbook of Financial Time Series234 cited
  • 2003A comparison of financial duration models via density forecasts

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212 cited
  • 2005Estimating value-at-risk: a point process approach187 cited
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    • 2022Forecasting: theory and practice1,041 cited