Early warning indicator for financial crashes using the log periodic power law
AbstractIn this article, we apply the Log Periodic Power Law (LPPL), introduced by Johansen et al. (2000), for capturing the recent stock market crash in the German stock index (Deutscher Aktien Index, DAX). The contribution of this article consists not only in describing the historical crash by the LPPL, but also in demonstrating how the LPPL can be used as an early warning indicator for financial crashes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 15 (October)
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.