Evidence of log-periodicity in corporate bond spreads
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DOI: 10.1016/j.physa.2004.02.059
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- Filimonov, V. & Sornette, D., 2013. "A stable and robust calibration scheme of the log-periodic power law model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3698-3707.
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Keywords
Scaling laws; Log-periodic oscillations; Market microstructure; Bivariate spectral analysis; Surrogate data analysis;All these keywords.
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