We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …

-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the …\textsuperscript{TM} and Trust\textsuperscript{TM} indicators that enrich considerably the diagnostic of bubbles. Using extensive synthetic … signals, a detailed analysis of the "S\&P 500 1987" bubble and the application to 16 historical bubbles, we show that the …

crash (and rally) discrete jump distributions associated with positive (and negative) bubbles. We assume that crashes tend …, which has been previously proposed as a general definition of bubbles. Our bubble model also allows for a sequence of small …

(and rally) discrete jump distributions associated with positive (and negative) bubbles. The RE condition implies that the …

financial crisis. The effect of bubbles on stock and housing markets and their transmission to the domestic real economy and the …

Chapter Summary: We consider the recent financial crisis as an overlapping sequence of interdependent financial bubbles …

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … correctly identifies the bubbles ending in Oct. 1987, in Oct. 1997, in Aug. 1998 and the ITC bubble ending on the first quarter … diagnostic for the duration of bubbles: applied to the period before Oct. 1987 crash, there is clear evidence that the bubble …

monitoring of Bitcoin bubbles and crashes using different time scale data and proposed the modified Lagrange regularization … change. We also aimed to determine the natures of the bubbles and crashes – be it endogenous due to its own price evolution … correlated which to Bitcoin bubbles detected. Based on the daily LPPLS confidence indictor from December 1, 2019 to June 24, 2021 …

) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five …