and the end of bubble periods. Our results provide statistically significant evidence of speculative bubbles in the REIT …

the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …

Using a simple model of equity valuation, we de fine stock market bubbles and anti-bubbles as periods in which the … dynamics of valuation is temporarily explosive. We identify a mechanism for the creation and destruction of bubbles and anti-bubbles …

the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …

price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … the bubbles in the sample. Therefore, the paper suggests a combination approach of different bubble indicators which helps … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then …

We develop a methodology for detecting asset bubbles using a neural network. We rely on the theory of local martingales … the current estimator, obtaining an improved detection of bubbles. We show the outperformance of our algorithm over the … and build a zero net exposure trading strategy that exploits the risky arbitrage emanating from the presence of bubbles in …

the presence of bubbles (defined according to the local martingale theory). We advocate that quadratic-variation risk … premium can serve as a mechanism leading to forward-looking explosive price dynamics when bubbles are present. Our empirical …