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Expressing Disagreement in Stock Bubbles : Understanding Impacts of Social Dispersion

Chen, Kun - 2018

dispersion that may affect stock bubbles …

Persistent link: https://www.econbiz.de/10012923947

Testing the Local Martingale Theory of Bubbles using Cryptocurrencies

Choi, Soon Hyeok; Jarrow, Robert - 2021

Cryptocurrencies provide the ideal and natural experimental setting to test the local martingale theory of bubbles …, because they have no cash flows. Using this theory, we test for the existence of price bubbles in eight cryptocurrencies from … facilitate this estimation. During this time frame, five of the eight currencies (BTC, BCH, EOS, XMR, ZEC) exhibit price bubbles …

Persistent link: https://www.econbiz.de/10013251355

Are Mortgage Lenders Indeed Guilty of the Housing Bubble? - A UK Perspective

Xiao, Qin - 2015

This study aims to establish a proportional perspective of the contribution of UK mortgage lenders to the domestic housing bubble and the ensuing financial crisis, based on a carefully built theoretical framework. The theory captures credit constraint as a transmission mechanism for speculative...

Persistent link: https://www.econbiz.de/10013036123

On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - 2017

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

Persistent link: https://www.econbiz.de/10011595441

Can heterogeneous agent models explain the alleged mispricing of the S&P 500?

Lux, Thomas - 2020

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...

Persistent link: https://www.econbiz.de/10012214509

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

The Detection of Asset Price Bubbles in the Cryptocurrency Markets with an Application to Risk Management and the Measurement of Model Risk

Jacobs, Michael - 2023

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two … that asset price bubbles result in materially inflated VaR measures. The implication of this finding for portfolio and risk …

Persistent link: https://www.econbiz.de/10014351326

The Detection of Asset Price Bubbles in the Cryptocurrency Markets with an Application to Risk Management and the Measurement of Model Risk

Jacobs, Michael - 2023

Persistent link: https://www.econbiz.de/10014255132

Testing for multiple bubbles in bitcoin markets : a generalized sup ADF test

Su, Chi-Wei; Li, Zheng-Zheng; Tao, Ran; Si, Dengkui - In: Japan and the world economy : international journal of … 46 (2018), pp. 56-63

Persistent link: https://www.econbiz.de/10012102402

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10011411344