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Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis
Fantazzini, Dean - In: Economics Bulletin 31 (2011) 4, pp. 3259-3267
that the anti-bubble started in October 2007 ended almost three years later in August 2010, similarly to the first anti-bubble …
Persistent link: https://www.econbiz.de/10011278827
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Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
YAN, Wanfeng; WOODARD, Ryan; SORNETTE, Didier
estimate the fundamental value and the crash nonlinearity, meaning that identifying the presence of a bubble is enabled by … dynamics of a crash after a bubble. We test the models using data from three historical bubbles ending in crashes from …Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard …
Persistent link: https://www.econbiz.de/10009397083
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Leverage Causes Fat Tails and Clustered Volatility
Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010
volatility: Before a crash, when the value funds are dominant, they damp volatility, and after the crash, when they suffer severe …
Persistent link: https://www.econbiz.de/10009645229
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A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China
Asako, Kazumi; Liu, Zhentao - In: Journal of Banking & Finance 37 (2013) 7, pp. 2639-2651
, estimate its parameters and the probabilities of a bubble crash, and obtain several interesting results: the time series data … of the stock price bubble show an inherently non-stationary development and the probability of a bubble crash indeed …
Persistent link: https://www.econbiz.de/10010666263
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COVID‑19 and REITs crash : predictability and market conditions
Ahn, Kwangwon; Jang, Hanwool; Kim, Jinu; Ryu, Inug - In: Computational economics 63 (2024) 3, pp. 1159-1172
Persistent link: https://www.econbiz.de/10014546355
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Will memecoins' surge trigger a crypto crash? : evidence from the connectedness between leading cryptocurrencies and memecoins
Li, Chao; Yang, Haijun - In: Finance research letters 50 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014233882
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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Essays on incentive contracts, M&As, and firm risk
An, Suwei - 2023
Persistent link: https://www.econbiz.de/10013549808
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Essays on equity incentive and share pledging in China
Su, Zili - 2023
Persistent link: https://www.econbiz.de/10014339977
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Fundamental and speculative components of the cryptocurrency pricing dynamics
Kukacka, Jiri; Krištoufek, Ladislav - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23
and inherent bubble-bust episodes. Fundamental components are believed to have a weak, if any, role in the price …
Persistent link: https://www.econbiz.de/10014289059