) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five …

and crashes as market regimes with correlated negative jumps clustering over a finite period of time, our model provides a … series because they assume that crashes occur in a single large negative jump, which is counterfactual. The model estimation …

-Periodic Power Law Singularity (LPPLS) model of financial bubbles. This model is particularly relevant because one of its parameters … synthetic price time series and on three well-known historical financial bubbles …

and that started to burst in June 2015. The analysis is based on (i) the economic theory of rational expectation bubbles …

Bubbles and crashes have long been an important area of research that has not yet led to a comprehensive theoretical or … bubbles, crashes, and volatility are surveyed and a promising direction for future research, based on a theory of short …

fundamental cause of the unfolding financial and economic crisis: the accumulation of several bubbles and their interplay …

This chapter surveys the literature on bubbles, financial crises, and systemic risk. The first part of the chapter … provides a brief historical account of bubbles and financial crisis. The second part of the chapter gives a structured overview … of the literature on financial bubbles. The third part of the chapter discusses the literatures on financial crises and …

ended up with a crash. Furthermore, we describe that cycles of bubbles and crashes are repeated. …The aim of this paper is to propose a new model of bubbles and crashes to elucidate a mechanism of bubbles and … subsequent crashes. We consider an asset market in which the risky assets into two classes, the risky asset, and the risk …