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Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10015205693

Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10003699961

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

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

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

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