A study on asset price bubble dynamics : explosive trend or quadratic variation?
Robert A. Jarrow and Simon S. Kwok
| Year of publication: |
2024
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|---|---|
| Authors: | Jarrow, Robert A. ; Kwok, Simon Sai Man |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 5, p. 613-626
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| Subject: | Asset price bubble | Explosive autoregressive model | Quadratic variation | Realized volatility | Strict local martingale | Theorie | Theory | Spekulationsblase | Bubbles | 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