Lin, L.; Ren, R.E.; Sornette, D. - In: International Review of Financial Analysis 33 (2014) C, pp. 210-225
Using the concept of the stochastic discount factor with critical behavior, 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 and continuous...
