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Testing for Asset Price Bubbles using Options Data

Fusari, Nicola - 2020

We present a new approach to identifying asset price bubbles based on options data. Given their forward-looking nature … are key to understanding price bubbles. By exploiting the di˙erential pricing between put and call options, we can detect … and quantify bubbles in the prices of underlying asset. We apply our methodology to two stock market indexes, the S&P 500 …

Persistent link: https://www.econbiz.de/10012826066

Nonlinearities and Tests of Asset Price Bubbles

Arora, Vipin - 2014

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

Persistent link: https://www.econbiz.de/10013044861

Nonlinearities and Tests of Asset Price Bubbles

Arora, Vipin; Shi, Shuping - 2018

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

Persistent link: https://www.econbiz.de/10014145298

To see is to believe: Common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10010289899

To See is to Believe : Common Expectations in Experimental Asset Markets

Cheung, Stephen L. - 2012

Persistent link: https://www.econbiz.de/10013099096

To see is to believe : common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

is as great as when training is absent. -- asset market experiment ; price bubbles ; common knowledge of rationality …

Persistent link: https://www.econbiz.de/10009631461

The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017

According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper, the authors consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical...

Persistent link: https://www.econbiz.de/10011745419

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

Many time series exhibit unconditional heteroskedasticity, often in addition to conditional one. But such time-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root and stationarity tests possess null distributions...

Persistent link: https://www.econbiz.de/10010375374

Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time

Wątorek, Marcin; Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 3, pp. 49-58

We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...

Persistent link: https://www.econbiz.de/10011616763

Two Structural Breaks and the Unit Root Hypothesis : New Evidence About Unemployment in Australia

Konya, Laszlo - 2002

Following Konya (2000a, 2000b), this paper is the third in a series analyzing unemployment in Australia in the period of 1960 to 1997 with special regard to the unit-root versus stationarity hypotheses. It provides new evidence by allowing for the possibility of two endogenous breaks in the...

Persistent link: https://www.econbiz.de/10014123296