Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013

DOI10.1080/14697688.2014.989897zbMath1398.91720OpenAlexW2132751630MaRDI QIDQ4683078

William T. Ziemba, Albert N. Shiryaev, Mikhail Zhitlukhin

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/59288/1/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_System%20Risk%20Center_Discussion%20Papers_dp-20.pdf

zbMATH Keywords

bubblechange point detectionNikkei stock averagebond-stock modelgolf course membership index

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (3)

Compound Poisson disorder problem with uniformly distributed disorder time ⋮ Model misspecification in discrete time Bayesian online change detection ⋮ Multiscale Change Point Detection

Cites Work

• Critical market crashes
• Quickest Detection
• Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
• The US 2000‐2002 market descent: How much longer and deeper?
• How to Detect an Asset Bubble
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