Dynamics of a financial market index after a crash

Physica A: Statistical Mechanics and its Applications

Volumn 338, Issue 1-2 SPEC. ISS., 2004, Pages 125-134

  Lillo, Fabrizio ^a,b   Mantegna, Rosario N ^a,b  

^a INFM   (Italy)

^b UNIVERSITY OF PALERMO   (Italy)

Author keywords

Crashes; Econophysics; Financial markets; Value at Risk

Indexed keywords

COMPUTATIONAL COMPLEXITY; COMPUTER SIMULATION; EARTHQUAKE EFFECTS; GEOPHYSICS; MATHEMATICAL MODELS; PROBABILITY; RISK ASSESSMENT; STATISTICAL METHODS;

CRASHES; ECONOPHYSICS; FINANCIAL MARKETS; VALUE AT RISK;

FINANCE;

EID: 2942596338     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.02.034     Document Type: Conference Paper

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