271
Views
6
CrossRef citations to date
0
Altmetric
Economics, Business & Finance

Stochastic cusp catastrophe model and its Bayesian computations

ORCID Icon, ORCID Icon, &
Pages 2714-2733 | Received 15 Apr 2020, Accepted 17 Apr 2021, Published online: 07 May 2021

References

  • Y. Ait-Sahalia, Testing continuous-time models of the spot interest rate, Rev. Financ. Stud. 9 (1996), pp. 385–426.
  • Y. Ait-Sahalia, Closed-form likelihood expansions for multivariate diffusions, Ann. Stat. 36 (2008), pp. 906–937.
  • J. Baruník and M. Vosvrda, Can a stochastic cusp catastrophe model explain stock market crashes?, J. Econ. Dyn. Control 33 (2009), pp. 1824–1836.
  • M. Betancourt, A conceptual introduction to Hamiltonian Monte Carlo, arXiv preprint (2017). Available at arXiv:1701.02434.
  • D.-G. Chen, X.J. Chen, and K. Zhang, An exploratory statistical cusp catastrophe model, in 2016 IEEE International Conference on Data Science and Advanced Analytics (DSAA), IEEE, Hoboken, NJ, 2016, pp. 100–109.
  • L. Cobb, Stochastic catastrophe models and multimodal distributions, Behav. Sci. 23 (1978), pp. 360–374.
  • L. Cobb, Estimation Theory for the cusp Catastrophe Model, Wiley, Hoboken, NJ, 1980.
  • L. Cobb, Parameter estimation for the cusp catastrophe model, Behav. Sci. 26 (1981), pp. 75–78.
  • L. Cobb, P. Koppstein, and N.H. Chen, Estimation and moment recursion relations for multimodal distributions of the exponential family, J. Am. Stat. Assoc. 78 (1983), pp. 124–130.
  • L. Cobb and R.K. Ragade, Applications of catastrophe theory in the behavioral and life sciences, Behav. Sci. 23 (1978), pp. i–i.
  • L. Cobb and B. Watson, Statistical catastrophe theory: an overview, Math. Model. 1 (1980), pp. 311–317.
  • L. Cobb and S. Zacks, Applications of catastrophe theory for statistical modeling in the biosciences, J. Am. Stat. Assoc. 80 (1985), pp. 793–802.
  • R.F. Costantino, R.A. Desharnais, J.M. Cushing, B. Dennis, S.M. Henson, and A.A. King, Nonlinear stochastic population dynamics: the flour beetle tribolium as an effective tool of discovery, Adv. Ecol. Res. 37 (2005), pp. 101–141.
  • J. Creedy, J. Lye, and V.L. Martin, A non-linear model of the real US/UK exchange rate, J. Appl. Econom. 11 (1996), pp. 669–686.
  • J. Creedy and V. Martin, Multiple equilibria and hysteresis in simple exchange models, Econ. Model. 10 (1993), pp. 339–347.
  • M. Fernandes, Financial crashes as endogenous jumps: estimation, testing and forecasting, J. Econ. Dyn. Control 30 (2006), pp. 111–141.
  • R.P. Grasman, H.L. van der Mass, and E. Wagenmakers, Fitting the cusp catastrophe in R: a cusp package primer, J. Stat. Softw. 32 (2009), pp. 1–27.
  • A.I. Hartelman, Stochastic Catastrophe Theory, University of Amsterdam, Amsterdam, 1997.
  • P.D. Hoff, A First Course in Bayesian Statistical Methods, Vol. 580, Springer, New York, 2009.
  • J. Honerkamp, Stochastic Dynamical System: Concepts, Numerical Methods, Data Analysis, VCH Publishers, New York, NY, 1994.
  • S.M. Iacus, Simulation and Inference for Stochastic Differential Equations: With R Examples, Springer Science & Business Media, Berlin, Germany, 2009.
  • V.G. Ivancevic and T.T. Ivancevic, Computational Mind: A Complex Dynamics Perspective, Vol. 60, Springer, Berlin, Germany, 2007.
  • R.M. Neal, MCMC using Hamiltonian dynamics, in Handbook Markov Chain Monte Carlo, CRC Press, Boca Raton, FL, Vol. 2, 2011, p. 2.
  • R. Thom, Structural Stability and Morphogenesis, Benjamin-Addison-Wesley, New York, NY, 1975.
  • R. Thom and D.H. Fowler, Structural Stability and Morphogenesis: An Outline of a General Theory of Models, W. A. Benjamin, New York, NY, 1975.
  • R. Thom and E. Zeeman, Catastrophe theory: its present state and future perspectives, Dyn. Syst. Warwick 468 (1974), pp. 366.
  • E. Zeeman, On the unstable behaviour of stock exchanges, J. Math. Econ. 1 (1973), pp. 39–49.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.