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Detectarea regimurilor de bule financiare speculative pe principalele piete de capital din Europa

Author

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  • Mihai-Andrei Mitrache

Abstract

Acest articol examineazã regimurile de bule financiare speculative inregistrate pe principalele piete de capital din Europa utilizand modelul Log-Periodic Power Law. Modelul Log-Periodic Power Law (LPPL) este un model consistent, capabil sa detecteze bulele financiare explozive, care combina o revenire conditionata a rezidirilor la medie si care reflectã opiniile pozitive si neliniare ale investitorilor. Regimul impus de model este unul mai rapid ca un regim exponential, combinat cu oscilatii logaritmice.

Suggested Citation

  • Mihai-Andrei Mitrache, 2017. "Detectarea regimurilor de bule financiare speculative pe principalele piete de capital din Europa," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(11), pages 108-125, November.
    • Handle: RePEc:rsr:supplm:v:65:y:2017:i:11:p:108-125
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    More about this item

    Keywords

    bula financiara speculativa; modelare financiara; Modelul Log-Periodic Power Law;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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