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An Lppl Algorithm For Estimating The Critical Time Of A Stock Market Bubble

Listed author(s):
  • Daniel T. Pele

    ()

    (Bucharest University of Economic Studies)

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    LPPL models have been widely used to describe the behaviour of stock prices during an endogenous bubble and to predict the most probable time of the regime switching. Although their utility has been proved in many papers, there is still a lack of consensus on the statistical robustness, as the estimators are obtained through a nonlinear optimization algorithm and they are sensitive to the initial values. In this paper we propose an extension of the approach from Liberatore (2011), using a time series peak detection algorithm.

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    Article provided by Bucharest University of Economic Studies in its journal Journal of Social and Economic Statistics.

    Volume (Year): 1 (2012)
    Issue (Month): 2 (DECEMBER)
    Pages: 14-22

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    Handle: RePEc:aes:jsesro:v:1:y:2012:i:2:p:14-22
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    1. Cajueiro, Daniel O. & Tabak, Benjamin M. & Werneck, Filipe K., 2009. "Can we predict crashes? The case of the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1603-1609.
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