Are There Dragon Kings in the Stock Market?
Abstract
:1. Introduction
2. Time Series of Realized Volatility
3. Generalized Beta Distribution Function
4. Fitting Distribution of Realized Volatility
4.1. Methodology
4.2. Results
- Full data CDF fit with mGB and GB2 and LF of the tails;
- Same as above shown for ;
- p-values of all three fits for , with indicating DK and nDK;
- LF with its CI;
- GB2 fit with its CI;
- mGB fit with its CI.
5. Discussion
6. Conclusions
Author Contributions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
References
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n | Parameters of | Parameters of |
---|---|---|
1 | ||
5 | ||
7 | ||
17 | ||
21 |
n | SE of Parameters of | SE of Parameters of |
---|---|---|
1 | ||
5 | ||
7 | ||
17 | ||
21 |
n | LF | |
---|---|---|
1 | −4.25 | −3.01 |
5 | −3.42 | −2.95 |
7 | −3.41 | −2.84 |
17 | −3.50 | −2.34 |
21 | −3.45 | −2.28 |
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Liu, J.; Dashti Moghaddam, M.; Serota, R.A. Are There Dragon Kings in the Stock Market? Foundations 2024, 4, 91-113. https://doi.org/10.3390/foundations4010008
Liu J, Dashti Moghaddam M, Serota RA. Are There Dragon Kings in the Stock Market? Foundations. 2024; 4(1):91-113. https://doi.org/10.3390/foundations4010008
Chicago/Turabian StyleLiu, Jiong, Mohammadamin Dashti Moghaddam, and Rostislav A. Serota. 2024. "Are There Dragon Kings in the Stock Market?" Foundations 4, no. 1: 91-113. https://doi.org/10.3390/foundations4010008