Natural time and crash risk
The deviation of financial returns from normal distribution is a well‐documented stylized fact. Nonetheless, finance professionals and investors alike pay attention to these deviations almost only when a crisis erases years’ worth of gains. And despite decades’ worth of literature, the culprit for n...
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University of Essex
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.681805 |