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Autor
Wątorek Marcin (Polish Academy of Sciences), Stawiarski Bartosz (Cracow University of Technology)
Tytuł
Log-Periodic Power Law and Generalized Hurst Exponent Analysis in Estimating an Asset Bubble Bursting Time
Źródło
e-Finanse, 2016, vol. 12, nr 3, s. 49-58, tab., rys., bibliogr. s. 58
Słowa kluczowe
Prognozowanie, Analiza symulacyjna, Rynki finansowe
Forecasting, Simulation analysis, Financial markets
Uwagi
summ.
Abstrakt
We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fiffing to empirical financial time series exhibiting evident bubble behavior is presented. Estimating the critical crash-time works satisfactorily well also in the case of GHE, when substantial "decorrelation" prior to the event is visible. An extensive simulation study carried out on empirical data: stock indices and commodities, confirms very good performance of the two approaches. (original abstract)
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Bibliografia
Pokaż
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ISSN
1734-039X
Język
eng
URI / DOI
http://dx.doi.org/10.14636/1734-039X_12_3_004
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