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Transient fads and the crash of '87
Chang Jin Kim, Myung Jig Kim
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peer-review
22
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Keyphrases
Crash
100%
Volatility
100%
MS Model
100%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
66%
Heteroscedasticity
33%
Markov Switching
33%
Oil Shocks
33%
Market Crash
33%
Stock Return Volatility
33%
OPEC Oil
33%
Conditional Variance
33%
Speculative Bubbles
33%
Economics, Econometrics and Finance
Bubble
33%