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Regime-basierte Modellansätze zur Identifikation periodisch platzender Vermögenspreisblasen

Anaswah, Nael al- - 2007

Persistent link: https://www.econbiz.de/10013432024

Markov-switching in target stocks during takeover bids

Gelman, Sergey; Wilfling, Bernd - In: Journal of empirical finance 16 (2009) 5, pp. 745-758

Persistent link: https://www.econbiz.de/10003900399

Periodically collapsing Evans bubbles and stock-price volatility

Rotermann, Benedikt; Wilfling, Bernd - In: Economics letters 123 (2014) 3, pp. 383-386

Persistent link: https://www.econbiz.de/10010401222

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 145-172

Persistent link: https://www.econbiz.de/10012585891

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - 2019

In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo...

Persistent link: https://www.econbiz.de/10012287533

Short selling constraints and stock returns volatility : empirical evidence from the German stock market

Bohl, Martin T.; Reher, Gerrit; Wilfling, Bernd - In: Economic modelling 58 (2016), pp. 159-166

Persistent link: https://www.econbiz.de/10011647079

A new stock-price bubble with stochastically deflating trajectories

Rotermann, Benedikt; Wilfling, Bernd - In: Applied economics letters 25 (2018) 15, pp. 1091-1096

Persistent link: https://www.econbiz.de/10012132351

Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks

Segnon, Mawuli; Gupta, Rangan; Wilfling, Bernd - In: International journal of forecasting 40 (2024) 1, pp. 29-43

Persistent link: https://www.econbiz.de/10014450235