Showing 1 - 10 of 21
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...
Persistent link: https://www.econbiz.de/10010411858
We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...
Persistent link: https://www.econbiz.de/10010257507
Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...
Persistent link: https://www.econbiz.de/10011507794
We propose to date and analyze the financial cycle using the Maximum Overlap Discrete Wavelet Transform (MODWT). Our presentation points out limitations of the methods derived from the classical business cycle literature, while stressing their connection with wavelet analysis. The fundamental...
Persistent link: https://www.econbiz.de/10011516595
We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that have approximately Exponential or Pareto tails, thanks to Extreme Value Theory. It is shown that a simple "robust'' modification of common test statistics makes inward sequential...
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A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings'', have been reported in the distribution of financial drawdowns, city-size distributions (e.g., Paris in France and London...
Persistent link: https://www.econbiz.de/10013106909
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