Financial bubbles analysis with a cross-sectional estimator
We 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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- Kaizoji, Taisei & Kaizoji, Michiyo, 2004.
"Power law for ensembles of stock prices,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 344(1), pages 240-243.
- Taisei Kaizoji & Michiyo Kaizoji, 2003. "Power law for ensembles of stock prices," Papers cond-mat/0312406, arXiv.org, revised Mar 2006.
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- Taisei Kaizoji, 2005. "A Precursor of Market Crashes," Papers physics/0510055, arXiv.org, revised Mar 2006. Full references (including those not matched with items on IDEAS)
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