Search Results - subject:"log-periodic models"

Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis

Fantazzini, Dean - In: Economics Bulletin 31 (2011) 4, pp. 3259-3267

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009 - 09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...

Persistent link: https://www.econbiz.de/10011278827

Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask

Fantazzini, Dean; Geraskin, Petr - Volkswirtschaftliche Fakultät, … - 2011

Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...

Persistent link: https://www.econbiz.de/10011113835

Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models

Fantazzini, Dean - In: Economics Bulletin 30 (2010) 3, pp. 1833-1841

current world markets operation, we consider log-periodic models of price movements, which has been largely used in the past …) the log-periodic models outperform standard financial models when long-term out-of-sample forecasting is of concern. ii …

Persistent link: https://www.econbiz.de/10008596625

Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask

Geraskin, Petr; Fantazzini, Dean - In: The European journal of finance 19 (2013) 5/6, pp. 366-391

Persistent link: https://www.econbiz.de/10010243608