Inferring fundamental value and crash nonlinearity from bubble calibration

DOI10.1080/14697688.2011.606824zbMath1402.62261arXiv1011.5343OpenAlexW3122366343MaRDI QIDQ5245465

Wanfeng Yan, Ryan Woodard, Didier Sornette

Publication date: 8 April 2015

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

Full work available at URL: https://arxiv.org/abs/1011.5343

zbMATH Keywords

bootstrapnonlinearityfinancial time seriesfinancial bubblesfinancial modellingfundamental valueWilks' statisticscrash prediction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (2)

New JLS-factor model versus the standard JLS model: a case study on Chinese stock bubbles ⋮ Time-warped growth processes, with applications to the modeling of boom-bust cycles in house prices

Cites Work

• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• 2000-2003 real estate bubble in the UK but not in the USA
• Oscillatory finite-time singularities in finance, population and rupture
• Predicting critical crashes? A new restriction for the free variables
• CRASHES AS CRITICAL POINTS

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