CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION

DOI10.1142/S021902491950033XzbMath1454.91256OpenAlexW2969906474WikidataQ127371351 ScholiaQ127371351MaRDI QIDQ5207487

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Publication date: 2 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491950033x

zbMATH Keywords

time seriespower lawschange pointfinancial bubble

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Related Items (1)

A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS

Uses Software

• changepoint

Cites Work

• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Adaptive MCMC for multiple changepoint analysis with applications to large datasets
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• CRASHES AS CRITICAL POINTS
• Optimal Detection of Changepoints With a Linear Computational Cost
• The Econometric Modelling of Financial Time Series
• Ranges and Midranges
• Tests for an end-of-sample bubble in financial time series

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