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Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021
Persistent link: https://www.econbiz.de/10012520206
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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
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Financial contagion : a tale of three bubbles
Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14
The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …
Persistent link: https://www.econbiz.de/10012587643
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Growth, innovation, credit constraints, and stock price bubbles
He, Sicheng - In: Journal of economics 133 (2021) 3, pp. 239-269
Persistent link: https://www.econbiz.de/10012590077
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Stock market bubbles and monetary policy effectiveness
Fullana, Olga; Ruiz, Javier; Toscano, David - In: The European journal of finance 27 (2021) 10, pp. 963-975
Persistent link: https://www.econbiz.de/10012609244
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The dynamics of short sales constraints and market quality : an experimental approach
Cabrera, Juan; Gousgounis, Eleni - In: Journal of financial markets 53 (2021), pp. 1-39
Persistent link: https://www.econbiz.de/10013271970
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Stock market dynamics : a psycho-economic approach to speculative bubbles
Kugler, Friedrich - 1993
Persistent link: https://www.econbiz.de/10013282988
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The "COVID" crash of the 2020 US Stock market
Shu, Min; Song, Ruiqiang; Zhu, Wei - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10013186572
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Detecting periodically collapsing bubbles in the S&P 500
Nguyen, Quynh Nhu; Waters, George - In: The quarterly review of economics and finance : journal … 83 (2022), pp. 83-91
Persistent link: https://www.econbiz.de/10013258514
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Liquidity Shocks and Stock Bubbles
Nneji, Ogonna - 2014
market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase … the probability of stock market bubbles collapsing. Second, market liquidity has a more prevalent effect on stock bubbles …
Persistent link: https://www.econbiz.de/10013063524