搜索结果: 1-6 共查到“理论经济学 financial bubbles”相关记录6条 . 查询时间(0.178 秒)
We present an extension of the Johansen-Ledoit-Sornette (JLS) model to include
an additional pricing factor called the “Zipf factor”, which describes the diversification
risk of the stock market por...
The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. If the on-going development of a bubble is suspected, asset prices can be fit numerically to the LPPL law. The b...
Financial bubbles analysis with a cross-sectional estimator
Financial bubbles analysis cross-sectional estimator
2010/11/2
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate ...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
Rational bubbles mean reversal positive feedbacks finite-time singularity superexponential growth Bayesian analysis log-periodic power law
2010/11/1
We present a self-consistent model for explosive financial bubbles, which combines a
mean-reverting volatility process and a stochastic conditional return which reflects nonlinear
positive feedbacks...
Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
bubble super-exponential regime rational expectation critical time finite-time-singularity
2010/11/2
We propose two rational expectation models of transient financial bubbles with heterogeneous
arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic
faster-than-exponent...
Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
Financial crisis bubbles real estate derivatives out-of-equilibrium super-exponentia growth crashes complex systems
2010/11/1
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing ...