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Inefficient bubbles and efficient drawdowns in financial markets
Schatz, Michael; Sornette, Didier - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-56
Persistent link: https://www.econbiz.de/10012496907
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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Inefficient bubbles and efficient drawdowns in financial markets
Schatz, Michael; Sornette, Didier - 2018
expectations equilibria, we argue that this carries over to the finite time “strict local martingale”-approach to bubbles. Our …
Persistent link: https://www.econbiz.de/10011900246
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The lifetime of a financial bubble
Obayashi, Yoshiki; Protter, Philip E.; Yang, Shihao - In: Mathematics and financial economics 11 (2017) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10011900514
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Measuring investors' risk appetite
Gai, Prasanna (contributor); Vause, Nicholas (contributor) - 2005
Persistent link: https://www.econbiz.de/10003267261
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Financial system risk and flight to quality
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2005
Persistent link: https://www.econbiz.de/10003236358
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Measuring Investors' Risk Appetite
Gai, Prasanna; Vause, Nicholas - 2005
This paper proposes a new method for measuring investor 'risk appetite'. Like other indicators in the literature, it is based on a comparison of risk-neutral probabilities of future returns with the corresponding subjective probabilities. The precise nature of the comparison is novel, however,...
Persistent link: https://www.econbiz.de/10014060303
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Mathematical models for financial bubbles
Nedelcu, Sorin - 2014
thoroughly studied in the economic literature, a mathematical martingale theory of bubbles, based on an absence of arbitrage has … construct a flow in the space of equivalent martingale measures and we study the shifting perception of the fundamental value of … martingale measure used for pricing. In this way we are able to unify the classical martingale theory of bubbles with a …
Persistent link: https://www.econbiz.de/10010532745
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Martingale difference hypothesis and financial crisis : empirical evidence from European emerging foreign exchange markets
Lazăr, Dorina; Todea, Alexandru; Filip, Diana - In: Economic systems 36 (2012) 3, pp. 338-350
Persistent link: https://www.econbiz.de/10009712155
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Lifetime consumption and investment for worst-case crash scenarios
Desmettre, Sascha; Korn, Ralf; Seifried, Frank Thomas - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10011403176