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A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
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Conditions for bubbles to arise under heterogeneous beliefs
Lee, Seunghyun; Park, Hyungbin - In: Quantitative finance 22 (2022) 3, pp. 409-421
Persistent link: https://www.econbiz.de/10013167765
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Bubble detection and sector trading in real time
Milunovich, George; Shi, Shuping; Tan, David - In: Quantitative finance 19 (2019) 2, pp. 247-263
Persistent link: https://www.econbiz.de/10012194651
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On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza; Demos, Guilherme; Gupta, Rangan; … - In: Quantitative finance 19 (2019) 5, pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
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Statistical tests of distributional scaling properties for financial return series
Hallam, Mark; Olmo, Jose - In: Quantitative finance 18 (2018) 7, pp. 1211-1232
Persistent link: https://www.econbiz.de/10011911533
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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A simple mechanism for financial bubbles : time-varying momentum horizon
Lin, Li; Schatz, Michael; Sornette, Didier - In: Quantitative finance 19 (2019) 6, pp. 937-959
Persistent link: https://www.econbiz.de/10012194733
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Decision trees unearth return sign predictability in the S&P 500
Fiévet, Lucas; Sornette, Didier - In: Quantitative finance 18 (2018) 11, pp. 1797-1814
Persistent link: https://www.econbiz.de/10012261997
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Bubbles and dependence between international equity markets
Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan - In: Quantitative finance 24 (2024) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
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Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon - In: Quantitative finance 21 (2021) 11, pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795