Financial bubbles analysis with a cross-sectional estimator
AbstractWe highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in . We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0909.2885.
Date of creation: Sep 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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- Taisei Kaizoji & Michiyo Kaizoji, 2003.
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