On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators

DOI10.1080/14697688.2018.1524154zbMath1420.91545OpenAlexW2735634402WikidataQ128929996 ScholiaQ128929996MaRDI QIDQ5234341

Rangan Gupta, G. Demos, Riza Demirer, Didier Sornette

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1524154

zbMATH Keywords

Markov switchingpredictabilityshort interestfinancial bubble indicatorsLPPLS model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

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