Showing 1 - 10 of 23
Persistent link: https://www.econbiz.de/10012137897
We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable price increase and the associated crash. Some...
Persistent link: https://www.econbiz.de/10011762277
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen,...
Persistent link: https://www.econbiz.de/10003971110
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process,...
Persistent link: https://www.econbiz.de/10003971317
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...
Persistent link: https://www.econbiz.de/10009009600
Persistent link: https://www.econbiz.de/10010372668
We investigate the distributions of e-drawdowns and e-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The e-drawdowns (resp. e-drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which...
Persistent link: https://www.econbiz.de/10010412365
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...
Persistent link: https://www.econbiz.de/10009561617
Persistent link: https://www.econbiz.de/10009561750