AN LPPL ALGORITHM FOR ESTIMATING THE CRITICAL TIME OF A STOCK MARKET BUBBLE

LPPL models have been widely used to describe the behaviour of stock prices during an endogenous bubble and to predict the most probable time of the regime switching. Although their utility has been proved in many papers, there is still a lack of consensus on the statistical robustness, as the estimators are obtained through a nonlinear optimization algorithm and they are sensitive to the initial values. In this paper we propose an extension of the approach from Liberatore (2011), using a time series peak detection algorithm.