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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
2008 crisis with the 2001 dot-com or 2011 government debt ceiling dispute periods. Tests involving small stocks, different …
Persistent link: https://www.econbiz.de/10012919223
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The COVID-19 Crash in the US Stock Market
Ziemba, William T. - 2020
This paper studies the US equity market during the COVID-19 period in the first half of 2020. There is a record rise, then a record fall in prices and then a record recovery. Throughout the period there was extreme volatility and much short term momentum with fear and greed alternating. The VIX...
Persistent link: https://www.econbiz.de/10012830521
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Is a Stable Financial System Possible?
Turnbull, Shann - 2019
Three conditions are suggested for establishing a stable financial system: 1. Only digital money is used. 2. The Internet of Things (IoT) uses a sustainable service of nature essential to maintain the well being of the environment and humans in each region of the planet to automatically...
Persistent link: https://www.econbiz.de/10012894728
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Is a Stable Financial System Possible?
Turnbull, Shann - 2018
Three conditions are suggested for establishing a stable financial system: 1. Only digital money is used. 2. The Internet of Things (IoT) uses a sustainable service of nature essential to maintain the well being of the environment and humans in each region of the planet to automatically...
Persistent link: https://www.econbiz.de/10012931273
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Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series
Gerlach, J-C - 2020
We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles....
Persistent link: https://www.econbiz.de/10012836362
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Financial Bubble Implosion
Phillips, Peter C. B. - 2014
Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may take several different forms depending on the nature of the collapse and therefore requires some flexibility in modeling. This paper...
Persistent link: https://www.econbiz.de/10013048428
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Financial Bubble Implosion
Phillips, Peter C. B.; Shi, Shuping - 2014
Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may take several different forms depending on the nature of the collapse and therefore requires some flexibility in modeling. This paper...
Persistent link: https://www.econbiz.de/10014140129
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Wavelet analysis of Central European stock market behaviour during the crisis
Barunik, Jozef; Vacha, Lukas - 2009
In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...
Persistent link: https://www.econbiz.de/10003891213
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Jumps and Liquidity in the U.S. Stock Market
Goel, Rohit; Malik, Sheheryar - 2021
We use a new framework to analyze the liquidity trends in the US equity markets, based on the intra-day price trend. The analysis suggests that the proportion of daily price variation explained by jumps (either small or large) is at a historical low. Furthermore while small jumps (which are...
Persistent link: https://www.econbiz.de/10013231619
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Signaling Asset Price Bubbles with Time-Series Methods
Taipalus, Katja - 2012
unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling … with the most powerful standard (stability) tests. The new indicator seems to be more robust and to have more power than … the standard tests. In empirical application to US stock market data for 1871–2010, the new indicator signals most of the …
Persistent link: https://www.econbiz.de/10013111338