How to Detect an Asset Bubble

DOI10.1137/10079673XzbMath1239.91184OpenAlexW3124301986MaRDI QIDQ5388687

Younes Kchia, Robert A. Jarrow, Philip E. Protter

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/10079673x

zbMATH Keywords

interpolationreproducing kernel Hilbert spacesextrapolationsmooth kernel estimatorasset bubblesdot-com stocksstrictly local martingale

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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