A study on asset price bubble dynamics : explosive trend or quadratic variation?
Robert A. Jarrow and Simon S. Kwok
| Year of publication: |
2024
|
|---|---|
| Authors: | Jarrow, Robert A. ; Kwok, Simon Sai Man |
| Subject: | Asset price bubble | Explosive autoregressive model | Quadratic variation | Realized volatility | Strict local martingale | Spekulationsblase | Bubbles | Theorie | Theory | Börsenkurs | Share price | Volatilität | Volatility | Martingal | Martingale | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2342897 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014552111