A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
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References listed on IDEAS
- George Chang & James Feigenbaum, 2006. "A Bayesian analysis of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 15-36.
- Anders Johansen, 2004. "Origin of Crashes in 3 US stock markets: Shocks and Bubbles," Papers cond-mat/0401210, arXiv.org.
- Johansen, Anders, 2004. "Origin of crashes in three US stock markets: shocks and bubbles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 135-142.
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Cited by:
- Maximilian Brauers & Matthias Thomas & Joachim Zietz, 2014. "Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 165-184, August.
- Petr Geraskin & Dean Fantazzini, 2013.
"Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask,"
The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
- Fantazzini, Dean & Geraskin, Petr, 2011. "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper 47869, University Library of Munich, Germany.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing & Sornette, Didier & Woodard, Ryan & Bastiaensen, Ken & Cauwels, Peter, 2010.
"Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 149-162, June.
- Zhi-Qiang Jiang & Wei-Xing Zhou & D. Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, "undated". "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers CCSS-09-008, ETH Zurich, Chair of Systems Design.
- Zhi-Qiang JIANG & Wei-Xing ZHOU & Didier SORNETTE & Ryan WOODARD & Ken BASTIAENSEN & Peter CAUWELS, 2009. "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Swiss Finance Institute Research Paper Series 09-39, Swiss Finance Institute.
- Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, 2009. "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Papers 0909.1007, arXiv.org, revised Oct 2009.
- Revant Nayar & Minhajul Islam, 2024. "Endogenous Crashes as Phase Transitions," Papers 2408.06433, arXiv.org.
- Hanousek, Jan & Novotný, Jan, 2012.
"Price jumps in Visegrad-country stock markets: An empirical analysis,"
Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
- Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Siab Mamipour & Mahshid Sepahi, 2015. "Analysis of the Behavior of Amateur and Professional Investors’ Impact on the Formation of Bubbles in Tehran Stock Market," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(3), pages 341-358, Autumn.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-09-26 (Econometrics)
- NEP-FMK-2009-09-26 (Financial Markets)
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