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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Deep learning, jumps, and volatility bursts
Bashchenko, Oksana; Marchal, Alexis - 2020
current benchmark on simulated data. We use a long short- term memory (LSTM) neural network that is trained on labelled data …
Persistent link: https://www.econbiz.de/10012181300
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
Banerjee, Anurag Narayan - 2013
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10013076483
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coe fficient Model
Banerjee, Anurag Narayan - 2017
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10012973901
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Explosive Trend or Explosive Quadratic Variation? A Study on the Source of Asset Price Bubbles
Kwok, Simon - 2023
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 …
Persistent link: https://www.econbiz.de/10014254605
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
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Bayesian analysis of bubbles in asset prices
Fulop, Andras; Yu, Jun - In: Econometrics : open access journal 5 (2017) 4, pp. 1-23
properties for detecting bubbles. Empirical analysis using price-dividend ratios of S&P500 highlights the advantages of our …
Persistent link: https://www.econbiz.de/10011781855
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Dupire's equation for bubbles
Ekström, Erik; Tysk, Johan - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-12
Persistent link: https://www.econbiz.de/10009672595
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379
Persistent link: https://www.econbiz.de/10011962562