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Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two … that the model is able to forecast the end of the bubbles and to identify variables highly relevant during the bubble …
Persistent link: https://www.econbiz.de/10010411858
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Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs
Anderson, Keith P. - 2010
This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT … bubbles, most notably in the Mortgage REITs series. There is also visual evidence of a negative bubble in all three series in … bubbles or indeed taking advantage of such bubbles …
Persistent link: https://www.econbiz.de/10013150782
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Effects of real exchange rate volatility on trade : empirical analysis of the United States exports to BRICS
Ekanayake, E. M.; Dissanayake, Amila - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-21
This paper analyzes the effects of real exchange rate volatility on the United States’ exports to BRICS. It focuses on …
Persistent link: https://www.econbiz.de/10012821337
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The random walk of high frequency trading
Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015 - This draft: June 1, 2015
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...
Persistent link: https://www.econbiz.de/10010392091
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The World Predictive Power of U.S. Equity Market Skewness
Chen, Jian - 2019
This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S....
Persistent link: https://www.econbiz.de/10012902203
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Chinese Stock Market Volatility and the Role of U.S. Economic Variables
Chen, Jian - 2017
This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that several U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of...
Persistent link: https://www.econbiz.de/10012969357
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10010263750
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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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Follow the money : the monetary roots of bubbles and crashes
Corsi, Fulvio; Sornette, Didier - 2011
provide an early warning identification of bubbles. Estimating the FTS-GARCH on well-known historical bubble episodes suggest … the possibility to diagnose in real-time the presence of bubbles in financial time series. Minskian dynamics ; financial … bubbles ; positive feedback ; financial accelerator ; generalized FTS-GARCH …
Persistent link: https://www.econbiz.de/10009561751