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A three-regime model of speculative behaviour : modelling the evolution of the S&P 500 composite index

Brooks, Chris; Katsaris, Apostolos - In: The economic journal : the journal of the Royal … 115 (2005) 505, pp. 767-797

Persistent link: https://www.econbiz.de/10003007798

Rational speculative bubbles : an empirical investigation of the London Stock Exchange

Brooks, Chris; Katsaris, Apostolos - In: Bulletin of economic research 55 (2003) 4, pp. 319-346

Persistent link: https://www.econbiz.de/10001837809

Speculative bubbles in the S&P 500 : was the tech bubble confined to the tech sector?

Anderson, Keith; Brooks, Chris; Katsaris, Apostolos - In: Journal of empirical finance 17 (2010) 3, pp. 345-361

Persistent link: https://www.econbiz.de/10009267295

Testing for speculative bubbles in asset prices

Anderson, Keith; Brooks, Chris; Katsaris, Apostolos - In: Handbook of research methods and applications in …, (pp. 73-93). 2013

Persistent link: https://www.econbiz.de/10011897362

Speculative Bubbles in the S&P 500 : Was the Tech Bubble Confined to the Tech Sector‘

Anderson, Keith P. - 2010

This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the Samp;P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to...

Persistent link: https://www.econbiz.de/10012717700