Similar Search Results

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Detecting serial dependence in tail events : a test dual to the BDS test

Diks, Cees G. H. - 2002

Persistent link: https://www.econbiz.de/10001689451

A time-varying parameter model for local explosions

Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018

Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce … be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model …

Persistent link: https://www.econbiz.de/10011928329

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments … participants receive. Each market is repeated three times. In both experiments and in all treatments, we observe sizable bubbles …. These bubbles do not disappear with experience. Our findings in the call market experiment stand in contrast to the …

Persistent link: https://www.econbiz.de/10011932581

Tests for serial independence and linearity based on correlation integrals

Diks, Cees G. H.; Manzan, Sebastiano - 2001

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

Persistent link: https://www.econbiz.de/10011317443

A quantile-based realized measure of variation : new tests for outlying observations in financial data

Bos, Charles S.; Janus, Paweł - 2013

Persistent link: https://www.econbiz.de/10010191207

Robust inference for non-Gaussian SVAR models

Hoesch, Lukas; Lee, Adam; Mesters, Geert - 2022

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...

Persistent link: https://www.econbiz.de/10013417421

Speed, algorithmic trading, and market quality around macroeconomic news announcements

Scholtus, Martin L.; Dijk, Dick van; Frijns, Bart - 2012

Persistent link: https://www.econbiz.de/10009724343

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10011343265

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