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The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage...
Persistent link: https://www.econbiz.de/10003970395
We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation...
Persistent link: https://www.econbiz.de/10003979508
nonlinearity from a bubble calibration. In addition to forecasting the time of the end of a bubble, the new models can also …, forecasting their ending times and estimating fundamental value and the crash nonlinearity. The performance of the new models is …
Persistent link: https://www.econbiz.de/10008797688
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include an additional pricing factor called the Zipf factorʺ, which describes the diversification risk of the stock market portfolio. Keeping all the dynamical characteristics of a bubble described in the JLS model, the new...
Persistent link: https://www.econbiz.de/10009273110
The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large variety of financial bubbles in many different markets....
Persistent link: https://www.econbiz.de/10009273112