Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/102577 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
IES Working Paper No. 19/2013
Verlag: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Zusammenfassung: 
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily realized volatility from the returns in the first step and use stochastic cusp catastrophe on data normalized by the estimated volatility in the second step to study possible discontinuities in markets. We support our methodology by simulations where we also discuss the importance of stochastic noise and volatility in deterministic cusp catastrophe model. The methodology is empirically tested on almost 27 years of U.S. stock market evolution covering several important recessions and crisis periods. Due to the very long sample period we also develop a rolling estimation approach and we find that while in the first half of the period stock markets showed marks of bifurcations, in the second half catastrophe theory was not able to confirm this behavior. Results suggest that the proposed methodology provides an important shift in application of catastrophe theory to stock markets.
Schlagwörter: 
stochastic cusp catastrophe model
realized volatility
bifurcations
stock market crash
JEL: 
C01
C53
Dokumentart: 
Working Paper

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