crash (and rally) discrete jump distributions associated with positive (and negative) bubbles. We assume that crashes tend …, which has been previously proposed as a general definition of bubbles. Our bubble model also allows for a sequence of small …

bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more …

that asset booms, bubbles and busts continue posing a threat to financial stability despite financial markets becoming …

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con …-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con …-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …