Detecting Financial Collapse and Ballooning Sovereign Risk
This paper proposes a new model for capturing discontinuities in the underlying financial environment that can lead to abrupt falls, but not necessarily sustained monotonic falls, in asset prices. This notion of price dynamics is consistent with existing understanding of market crashes, which allows...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Ltd
2019
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| Online Access: | View Fulltext in Publisher |