The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals
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DOI: 10.1016/j.irfa.2014.02.012
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More about this item
Keywords
Rational bubbles; Mean reversal; Positive feedbacks; Finite-time singularity; Super-exponential growth; Bayesian analysis; Log-periodic power law; Stochastic discount factor;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
Statistics
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