Crash of '87 - Was it expected?. Aggregate market fears and long-range dependence

Journal of Empirical Finance

Volumn 17, Issue 2, 2010, Pages 270-282

  Gençay, Ramazan ^a,b,e   Gradojevic, Nikola ^c,d  

^a SIMON FRASER UNIVERSITY   (Canada)

^b Rimini Centre for Economic Analysis   (Italy)

^c LAKEHEAD UNIVERSITY   (Canada)

^d UNIVERSITY OF NOVI SAD   (Serbia)

^e IRMACS ^*  (Canada)

Author keywords

Non additive entropy; q Gaussian distribution; Shannon entropy; Skewness premium; Tsallis entropy

Indexed keywords

EID: 76949083478     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.09.006     Document Type: Article

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