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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
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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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Fama on bubbles
Engsted, Tom - In: Journal of economic surveys 30 (2016) 2, pp. 370-376
Persistent link: https://www.econbiz.de/10011553491
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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
Persistent link: https://www.econbiz.de/10011455529
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LPPLS bubble indicators over two centuries of the S&P 500 index
Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016
The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the … LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs … efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence …
Persistent link: https://www.econbiz.de/10011514490
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Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014
forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years … signalling of stock price booms and bubbles. …
Persistent link: https://www.econbiz.de/10010400661
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Bubble detection and crash prediction in real estate markets: a complex systems approach
Brauers, Maximilian - 2012
Persistent link: https://www.econbiz.de/10009685444
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Intrinsic bubbles revisited : evidence from nonlinear cointegration and forecasting
Ma, Yue; Kanas, Angelos - In: Journal of forecasting 23 (2004) 4, pp. 237-250
Persistent link: https://www.econbiz.de/10002129930
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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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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