Copyright c S.T.Rachev,Y.S.Kim,M-L.Bianchi,F.J.Fabozzi Market Crashes and Modeling Volatile Markets S.T.Rachev 1 , Y.S.Kim 2 , M.L.Bianchi 3 and F.J.Fabozzi 4 1 Chair Professor, Chair of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) & Department of Statistics and Applied Probability, University of California, Santa Barbara & Chief-Scientist, FinAnalytica INC www.statistik.uni-karlsruhe.de 2 Department of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) 3 Department of Mathematics, Statistics, Computer Science and Applications, University of Bergamo 4 School of Management, Yale University July 1, 2008 Rachev,Kim,Bianchi,Fabozzi (-) July 1, 2008 1 / 49