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Indeterminacy, economic fluctuations, bubbles and empirical sunspots
Aguiar-Conraria, Luís - 2006
Persistent link: https://www.econbiz.de/10003904187
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Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds
Fries, Sébastien - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1596-1616
Persistent link: https://www.econbiz.de/10013540394
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Modelling of speculative bubbles and forecasting of market crashes
Gerlach, Jan-Christian - 2021
Persistent link: https://www.econbiz.de/10012510251
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Stock return predictability and the adaptive markets hypothesis : evidence from century-long US data
Kim, Jae H.; Shamsuddin, Abul; Lim, Kian-Ping - In: Journal of empirical finance 18 (2011) 5, pp. 868-879
Persistent link: https://www.econbiz.de/10009492527
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Income growth in the 21st century : Forecasts with an overlapping generations model
De la Croix, David; Docquier, Frédßeric; Liégeois, … - In: International journal of forecasting 23 (2007) 4, pp. 621-635
Persistent link: https://www.econbiz.de/10003616075
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Income Growth in the 21st Century : Forecasts with an Overlapping Generations Model
de la Croix, David - 2007
We forecast income growth over the period 2000-2050 in the US, Canada, and France. To ground the forecasts on relationships that are as robust as possible to changes in the environment, we use a quantitative theoretical approach which consists in calibrating and simulating a general equilibrium...
Persistent link: https://www.econbiz.de/10012729226
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
Persistent link: https://www.econbiz.de/10011455529
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LPPLS bubble indicators over two centuries of the S&P 500 index
Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016
The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the … LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs … efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence …
Persistent link: https://www.econbiz.de/10011514490
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Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014
forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years … signalling of stock price booms and bubbles. …
Persistent link: https://www.econbiz.de/10010400661
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122