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Insight from a time-varying VAR model with stochastic volatility of the French housing and credit markets
Avouyi-Dovi, Sanvi; Labonne, Claire; Lecat, Rémy; Ray, … - 2017
Persistent link: https://www.econbiz.de/10011647274
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Vermögenspreisblasen und Geldpolitik im Rahmen dynamischer stochastischer Systeme
Mislin, Alexander - 2007 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10003586501
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A consistent model of "explosive" financial bubbles with mean-reversing residuals
Lin, Li; Ren, Ruoen; Sornette, Didier - 2009
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … correctly identifies the bubbles ending in Oct. 1987, in Oct. 1997, in Aug. 1998 and the ITC bubble ending on the first quarter … diagnostic for the duration of bubbles: applied to the period before Oct. 1987 crash, there is clear evidence that the bubble …
Persistent link: https://www.econbiz.de/10003970340
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Options and bubbles
Heston, Steven L.; Loewenstein, Mark A.; Willard, Gregory A. - In: The review of financial studies 20 (2007) 2, pp. 359-390
Persistent link: https://www.econbiz.de/10003554435
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Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
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Bubbles and long-range dependence in asset prices volatilities
Kirman, Alan P.; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001720525
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Bubbles and long range dependence in asset prices volatilities
Kirman, Alan P.; Teysière, Gilles - In: Equilibrium, markets and dynamics : essays in honour of …, (pp. 307-323). 2002
Persistent link: https://www.econbiz.de/10001685789
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Tests for explosive financial bubbles in the presence of non-stationary volatility
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574
Persistent link: https://www.econbiz.de/10011663370
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712