Detecting money market bubbles
Year of publication: |
February 2018
|
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Authors: | Baldeaux, Jan ; Ignatieva, Ekaterina ; Platen, Eckhard |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 87.2018, p. 369-379
|
Subject: | Money market bubbles | Strict local martingales | Markov chain Monte Carlo | Stochastic volatility models | Benchmark approach | Spekulationsblase | Bubbles | Geldmarkt | Money market | Markov-Kette | Markov chain | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Martingal | Martingale | Finanzmarkt | Financial market | Börsenkurs | Share price |
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