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A practical algorithm to detect superexponential behavior in financial asset price returns

Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-22

Persistent link: https://www.econbiz.de/10014235068

Chapter 5. Heterogeneous Agent Models in Finance

Dieci, Roberto; He, Xue-Zhong - In: Handbook of computational economics : Volume 4: …, (pp. 257-328). 2018

, estimation, and economic mechanisms analysis. It presents HAMs with the mainstream finance a unified framework in continuous time … momentum trading. It demonstrates how HAMs can help to understand stock price co-movements and evolutionary CAPM. It also …

Persistent link: https://www.econbiz.de/10014024353

Extrapolative asset pricing

Li, Kai; Liu, Jun - In: Journal of economic theory 210 (2023), pp. 1-47

Persistent link: https://www.econbiz.de/10014422547

The role of the media in the Internet IPO bubble

Bhattacharya, Utpal; Galpin, Neal; Ray, Rina; Yu, Xiaoyun - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 657-682

Persistent link: https://www.econbiz.de/10003887391

Asymmetric adjustment of stock prices to their fundamental value and the predictability of US stock returns

Boucher, Christophe - In: Economics letters 95 (2007) 3, pp. 339-347

Persistent link: https://www.econbiz.de/10003476261

Monetary policy and financial imbalances : facts and fiction

Assenmacher-Wesche, Katrin; Gerlach, Stefan - In: Economic policy : a European forum 63 (2010), pp. 437-482

Persistent link: https://www.econbiz.de/10008665445

On the neutrality of credit-driven asset bubbles

Reicher, Christopher Phillip - 2011

This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a … asset bubbles can form which exactly offset a bubble in household liabilities. Surprisingly, evidence from a VAR using long …-run restrictions supports the idea that asset bubbles are approximately neutral in their real effects before 2007. The evidence becomes …

Persistent link: https://www.econbiz.de/10008904609

A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment

Behr, Andreas - In: Applied financial economics 17 (2007) 16/18, pp. 1479-1487

Persistent link: https://www.econbiz.de/10003605859

Rational bubbles in the US stock market? : further evidence from a nonparametric cointegration test

Chang, Tsangyao; Chiu, Chi-chen; Nieh, Chien-chung - In: Applied economics letters 14 (2007) 7/9, pp. 517-521

Persistent link: https://www.econbiz.de/10003512167

Gesamtwirtschaftliche Folgen von Vermögensblasen im internationalen Vergleich

Bandholz, Harm - 2006

Die vorliegende Studie wurde im Arbeitsbereich "Konjunktur und Finanzmärkte" erstellt und im Dezember 2005 abgeschlossen. Auftraggeber war das Bundesministerium der Finanzen. Gegenstand der Studie sind die Auswirkungen von Vermögenspreisschwankungen auf die gesamtwirtschaftliche Aktivität. In...

Persistent link: https://www.econbiz.de/10003301732