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Please use this identifier to cite or link to this item: http://hdl.handle.net/2067/1514

Title: On the maximum drawdown during speculative bubbles
Authors: Navarra, Mauro
Rotundo, Giulia
Keywords: Risk measure; Drawdown; Speculative bubbles
Issue Date: 2007
Publisher: Physica A
Citation: M. Navarra, G. Rotundo, “On the maximum drawdown during speculative bubbles”, Physica A (ISSN: 0378-4371) 382 1 (2007) 235-246.
Abstract: A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indice
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URI: http://hdl.handle.net/2067/1514
ISSN: 0378-4371
Appears in Collections:DEIM - Archivio della produzione scientifica

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