Search Results - subject:"LPPLS Model"

Monetary policy uncertainty and the price bubbles in energy markets

Yang, Jinyu; Dong, Dayong; Liang, Chao; Cao, Yang - In: Energy economics 133 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015049522

Forecasting financial crashes : a dynamic risk management approach

Gerlach, Jan-Christian; Zhao, Dongshuai; Sornette, Didier - 2020

risk that should accurately be estimated is crash risk.This article applies the Log-Periodic Power Law Singularity (LPPLS …) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five …

Persistent link: https://www.econbiz.de/10012419688

On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators

Demirer, Rıza; Demos, Guilherme; Gupta, Rangan; … - In: Quantitative finance 19 (2019) 5, pp. 843-858

Persistent link: https://www.econbiz.de/10012194719