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Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market

Frankel, Jeffrey A.; Froot, Kenneth - 1991

Persistent link: https://www.econbiz.de/10000812601

Lock-in of extrapolative expectations in an asset pricing model

Lansing, Kevin J. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002116841

Lock-in of extrapolative expectations in an asset pricing model

Lansing, Kevin J. - In: Macroeconomic dynamics 10 (2006) 3, pp. 317-348

Persistent link: https://www.econbiz.de/10003329444

Indeterminacy, economic fluctuations, bubbles and empirical sunspots

Aguiar-Conraria, Luís - 2006

Persistent link: https://www.econbiz.de/10003904187

Three essays on financial markets and institutions

Souto, Marcos Rietti - 2005

Persistent link: https://www.econbiz.de/10003904272

Diagnosis and prediction of market rebounds in financial markets

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - 2010

We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive … feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen …-Ledoit-Sornette (JLS) model of rational expectation bubbles with a hazard rate describing the collective buying pressure of noise traders …

Persistent link: https://www.econbiz.de/10003979508

The log-linear return approximation, bubbles, and predictability

Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - 2010

Persistent link: https://www.econbiz.de/10008651718

House prices, expectations, and time-varying fundamentals

Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25

Persistent link: https://www.econbiz.de/10011300508

Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask

Geraskin, Petr; Fantazzini, Dean - In: The European journal of finance 19 (2013) 5/6, pp. 366-391

Persistent link: https://www.econbiz.de/10010243608

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