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Dissection of Bitcoin's multiscale bubble history : from January 2012 to February 2018

Gerlach, Jan-Christian; Demos, Guilherme; Sornette, Didier - 2018

the dynamics of Bitcoin price during the analyzed time period. We explain this classification of long and short bubbles by … over this period. Then, a detailed analysis of the growing risks associated with the three long bubbles using the Log … bubbles and the four short bubbles that our time scale of analysis was able to resolve. Overall, our predictive scheme …

Persistent link: https://www.econbiz.de/10011899669

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …

Persistent link: https://www.econbiz.de/10011555939

Estimating Stock Market Volatility with Asymmetric Arch, GARCH and Expanded GARCH Models

Jianguo, Wei - 2016

Purpose: This paper examines the volatility of stock return in Dhaka stock exchange, BangladeshMethodology: Using Random Walk model (RW), Autoregressive model (AR), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model with Normal, and Student...

Persistent link: https://www.econbiz.de/10012979338

Rational bubbles in the US stock market? : further evidence from a nonparametric cointegration test

Chang, Tsangyao; Chiu, Chi-chen; Nieh, Chien-chung - In: Applied economics letters 14 (2007) 7/9, pp. 517-521

Persistent link: https://www.econbiz.de/10003512167

On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - 2017

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

Persistent link: https://www.econbiz.de/10011595441

Are there periodically collapsing bubbles in the stock markets? : new international evidence

Chen, Shyh-Wei; Hsu, Chi-Sheng; Xie, Zixong - In: Economic modelling 52 (2016), pp. 442-451

Persistent link: https://www.econbiz.de/10011642804

On the bimodality of the distribution of the S&P 500's distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 80 (2017), pp. 34-53

Persistent link: https://www.econbiz.de/10011817623

Detecting bubbles in the US stock market : a new evidence from the bootstrap cointegration test in ESTAR error correction model

Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 941-950

Persistent link: https://www.econbiz.de/10011907050

Decomposing Realized Variance : A Point Process of Relevant Price Changes with Long Memory in Volatility

Tsai, Ping Chen - 2009

A simple, empirical-based approach to decompose Realized Variance (RV) is proposed, with supportive theoretical argument and empirical evidence. Under the proposed framework, RV is interpreted as a product of the intensity and variance of relevant price changes. Holding the variance aspect...

Persistent link: https://www.econbiz.de/10013159491

A raging bull or a long-term speculative bubble? : the puzzling case of the Karachi stock exchange

Ahmed, Ehsan; Rosser, John Barkley; Uppal, Jamshed Y. - In: The Pakistan development review : PDR 55 (2016) 2, pp. 79-93

Persistent link: https://www.econbiz.de/10011561580