Inferring Financial Bubbles from Option Data
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- Robert A. Jarrow & Simon S. Kwok, 2021. "Inferring financial bubbles from option data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1013-1046, November.
References listed on IDEAS
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"Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors,"
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- Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Limit Theory of Real Time Detectors," Cowles Foundation Discussion Papers 1915, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
- Xiaoting Dai & Linhai Wu, 2023. "The impact of capitalist profit-seeking behavior by online food delivery platforms on food safety risks and government regulation strategies," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024.
"Testing for an Explosive Bubble using High-Frequency Volatility,"
Working Papers
202402, University of Macau, Faculty of Business Administration.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Papers 2405.02087, arXiv.org.
- Philip Stahl & Jérôme Blauth, 2024. "Martingale defects in the volatility surface and bubble conditions in the underlying," Review of Derivatives Research, Springer, vol. 27(1), pages 85-111, April.
- Robert A. Jarrow & Simon S. Kwok, 2023. "An explosion time characterization of asset price bubbles," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 469-479, June.
- Mahalakshmi Manian & Parthajit Kayal, 2024. "Detecting and Forecasting Financial Bubbles in The Indian Stock Market Using Machine Learning Models," Working Papers 2024-270, Madras School of Economics,Chennai,India.
- Francesca Biagini & Lukas Gonon & Andrea Mazzon & Thilo Meyer-Brandis, 2022. "Detecting asset price bubbles using deep learning," Papers 2210.01726, arXiv.org, revised Jun 2024.
- Osband, Kent & Filoso, Valerio & Capasso, Salvatore, 2024.
"The limits of limitless debt,"
Journal of Macroeconomics, Elsevier, vol. 79(C).
- Kent Osband Valerio Filoso & Capasso Salvatore & Valerio Filoso, 2022. "The Limits of Limitless Debt," CSEF Working Papers 662, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
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More about this item
Keywords
asset price bubble; fundamental value; risk-neutral probability measure; state price distribution; partial identification; nonparametric estimation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-GEN-2020-05-11 (Gender)
- NEP-RMG-2020-05-11 (Risk Management)
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