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Lagrange regularization approach to compare nested data sets and determine objectively financial bubbles' inceptions

Demos, Guilherme; Sornette, Didier - 2017

Inspired by the question of identifying the start time τ of financial bubbles, we address the calibration of time …. Applied to synthetic models of financial bubbles with a well-defined transition regime and to a number of financial time …-defined reasonable determinations of the starting times for major bubbles such as the bubbles ending with the 1987 Black-Monday, the 2008 …

Persistent link: https://www.econbiz.de/10011877499

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Essays in statistical estimation and a stochastic application to financial markets

Huang, Jing - 2018

Persistent link: https://www.econbiz.de/10012183865

Measuring asset market linkages : nonlinear dependence and tail risk

Escanciano, Juan Carlos; Hualde, Javier - 2017

Persistent link: https://www.econbiz.de/10011763135

Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000...

Persistent link: https://www.econbiz.de/10013207315

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505