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The finite sample power of long-horizon predictive tests in models with financial bubbles

Maynard, Alex; Ren, Dongmeng - In: International review of financial analysis 63 (2019), pp. 418-430

Persistent link: https://www.econbiz.de/10012208194

Change-point analysis of asset price bubbles with power-law hazard function

Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-24

Persistent link: https://www.econbiz.de/10012153466

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

Regime-basierte Modellansätze zur Identifikation periodisch platzender Vermögenspreisblasen

Anaswah, Nael al- - 2007

Persistent link: https://www.econbiz.de/10013432024

Testing factor models when asset bubbles occur : a time-varying perspective

Yu, Lu; Li, Yanglin - In: Economic modelling 124 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014463291

Testing predictability of stock returns under possible bubbles

Yang, Bingduo; Long, Wei; Yang, Zihui - In: Journal of empirical finance 68 (2022), pp. 246-260

Persistent link: https://www.econbiz.de/10013464495

Speculative bubbles in Bitcoin markets? : an empirical investigation into the fundamental value of Bitcoin

Cheah, Eng-Tuck; Fry, John - In: Economics letters 130 (2015), pp. 32-36

Persistent link: https://www.econbiz.de/10011422365

Bubble detection in Bitcoin and Ethereum and its relationship with volatility regimes

Diniz, Renan; Prince, Diogo de; Maciel, Leandro - In: Journal of economic studies 50 (2023) 3, pp. 429-447

Persistent link: https://www.econbiz.de/10014252394

Speculative bubbles and herding in cryptocurrencies

Haykir, Ozkan; Yagli, Ibrahim - In: Financial innovation : FIN 8 (2022), pp. 1-33

This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID …-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found … was evident among investors; however, this diminishes during bubbles, indicating that bubbles are not explained by herd …

Persistent link: https://www.econbiz.de/10013368517

Optimal tranching with diverse beliefs

Guo, Guixia; Wang, Frank Yong; Wei, Xu - In: Economics letters 124 (2014) 2, pp. 222-226

Persistent link: https://www.econbiz.de/10010493719