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Intrinsic bubbles and Granger causality in the S&P 500 : evidence from long-term data

Chen, An-sing; Cheng, Lee-Young; Cheng, Kuang-Fu - In: Journal of banking & finance 33 (2009) 12, pp. 2275-2281

Persistent link: https://www.econbiz.de/10003905518

LPPLS bubble indicators over two centuries of the S&P 500 index

Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016

The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the … LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs … efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence …

Persistent link: https://www.econbiz.de/10011514490

A counterfactual valuation of the stock index as a predictor of crashes

Roberts, Tom - 2017

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...

Persistent link: https://www.econbiz.de/10011777936

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

Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model

Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013459321

Stock market valuation in the United States

Bisciari, Patrick; Durré, Alain; Nyssens, Alain - 2003

occasions were the so-called 1929 and 2000 bubbles. The models showed that, at some point in time before the peak in (real …

Persistent link: https://www.econbiz.de/10011622359

Stock market valuation in the United States

Bisciari, Patrick; Durré, Alain; Nyssens, Alain - 2003

Persistent link: https://www.econbiz.de/10001828655

A test for rational bubbles in the NASDAQ stock index : a fractionally integrated approach

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Journal of banking & finance 29 (2005) 10, pp. 2633-2654

Persistent link: https://www.econbiz.de/10003071039

The value of the S&P 500 : a macro view of the stock market adjustment process

Chiarella, Carl; Gao, Shenhuai - In: Global finance journal 15 (2004) 2, pp. 171-196

Persistent link: https://www.econbiz.de/10002375116

Stock Market Valuation in the United States

Bisciari, Patrick - 2010

occasions were the so-called 1929 and 2000 bubbles. The models showed that, at some point in time before the peak in (real …

Persistent link: https://www.econbiz.de/10013137085