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Do bubbles spill over? : estimating financial bubbles in emerging markets
Hatipoglu, Ozan; Uyar, Onur - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 64-75
Persistent link: https://www.econbiz.de/10009714771
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Cumulation, crash, coherency : a cryptocurrency bubble wavelet analysis
Fruehwirt, Wolfgang; Hochfilzer, Leonhard; Weydemann, … - In: Finance research letters 40 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012818919
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Birth or burst of financial bubbles : which one is easier to diagnose?
Demos, Guilherme; Zhang, Qunzhi; Sornette, Didier - 2015
Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to … with the alternative according to which bubbles persist due to the difficulty of agreeing on the end of bubbles. We present …. We find overwhelming evidence that the beginning of bubbles is much better constrained that their end. Our results are …
Persistent link: https://www.econbiz.de/10011507794
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201
Persistent link: https://www.econbiz.de/10011625108
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Predicting financial market crashes using ghost singularities
Smug, Damian; Ashwin, Peter; Sornette, Didier - 2017
bubbles. By using the formalism of dynamical system theory, we explain what drives the bubbles and how foreshocks or … rationalises the log-periodic power law singularity pattern documented in many historical financial bubbles. The notion of ‘ghosts …
Persistent link: https://www.econbiz.de/10011762259
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Financial cycles around the world
Adarov, Amat - 2018
The study analyses financial cycles based on a global sample of 34 advanced and developing countries over the period 1960Q1 to 2015Q4. We use dynamic factor models and state-space techniques to estimate financial cycles in credit, housing, bond and equity markets, as well as aggregate...
Persistent link: https://www.econbiz.de/10011815430
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Critical slowing down as an early warning signal for financial crises?
Diks, Cees G. H.; Hommes, Cars H.; Wang, Juanxi - In: Empirical economics : a journal of the Institute for … 57 (2019) 4, pp. 1201-1228
Persistent link: https://www.econbiz.de/10012115286
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Interactions between financial markets and macroeconomic variables in EU : a nonlinear modeling approach
Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir - 2015
There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the...
Persistent link: https://www.econbiz.de/10011480254