搜索结果: 1-6 共查到“经济学 financial bubbles”相关记录6条 . 查询时间(0.078 秒)
Role of Diversification Risk in Financial Bubbles
Financial Swiss Finance Institute
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2011/7/19
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...
Computational LPPL Fit to Financial Bubbles
Computational LPPL Fit Financial Bubbles
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2010/10/19
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
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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
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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
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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
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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 ...