Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14
The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … particular, we focus on the 2000 DotCom Bubble, the 2008 Housing Crisis, and the 2015 Chinese Bubble. We employ three main … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …
