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  • Search: subject:"Explosive autoregressive model"
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Asset price bubble 1 Bubbles 1 Börsenkurs 1 Explosive autoregressive model 1 Martingal 1 Martingale 1 Quadratic variation 1 Realized volatility 1 Share price 1 Spekulationsblase 1 Strict local martingale 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Jarrow, Robert A. 1 Kwok, Simon Sai Man 1
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Quantitative finance 1
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A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626
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