14-067/III - Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes

• Authors
  Francine Gresnigt; Erik Kole; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands
• Publication date
  June 3, 2014

• Keywords
  Financial crashes, Hawkes process, self-exciting process, Early Warning System
• JEL
  C13, C15, C53, G17