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A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index
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Cited by:
- Angelos Dassios & Luting Li, 2018. "An Economic Bubble Model and Its First Passage Time," Papers 1803.08160, arXiv.org.
- Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
- Vipin Arora & Shuping Shi, 2016. "Nonlinearities and tests of asset price bubbles," Empirical Economics, Springer, vol. 50(4), pages 1421-1433, June.
- Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007.
"Behavioral heterogeneity in stock prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
- Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute.
- McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
- Panopoulou, Ekaterini & Pantelidis, Theologos, 2015.
"Speculative behaviour and oil price predictability,"
Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
- Ekaterini Panopoulou & Theologos Pantelidis, 2014. "Speculative behaviour and oil price predictability," Discussion Paper Series 2014_09, Department of Economics, University of Macedonia, revised Dec 2014.
- Areal, Francisco José & Balcombe, Kevin & Rapsomanikis, George, 2016.
"Testing for bubbles in agriculture commodity markets,"
Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 16(01), June.
- Areal, Francisco J & Balcombe, Kelvin & Rapsomanikis, George, 2013. "Testing for bubbles in agriculture commodity markets," MPRA Paper 48015, University Library of Munich, Germany.
- Areal, Francisco J. & Balcombe, Kelvin G. & Rapsomanikis, George, 2014. "Testing for bubbles in agricultural commodity markets," ESA Working Papers 288981, Food and Agriculture Organization of the United Nations, Agricultural Development Economics Division (ESA).
- Hommes, C.H. & Wagener, F.O.O., 2008.
"Complex evolutionary systems in behavioral finance,"
CeNDEF Working Papers
08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
- Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Shuping Shi & Peter C.B. Phillips, 2023.
"Diagnosing housing fever with an econometric thermometer,"
Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 159-186, February.
- Shuping Shi & Peter C B Phillips, 2020. "Diagnosing housing fever with an econometric thermometer," CAMA Working Papers 2020-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Shuping Shi & Peter C.B. Phillips, 2020. "Diagnosing Housing Fever with an Econometric Thermometer," Cowles Foundation Discussion Papers 2248, Cowles Foundation for Research in Economics, Yale University.
- Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
- Shi, Shuping & Arora, Vipin, 2012. "An application of models of speculative behaviour to oil prices," Economics Letters, Elsevier, vol. 115(3), pages 469-472.
- John Powell & Rubén Roa & Jing Shi & Viliphonh Xayavong, 2007. "A Test for Long-Term Cyclical Clustering of Stock Market Regimes," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 205-221, December.
- Xiaoliang Liu & Guenther Filler & Martin Odening, 2013.
"Testing for speculative bubbles in agricultural commodity prices: a regime switching approach,"
Agricultural Finance Review, Emerald Group Publishing Limited, vol. 73(1), pages 179-200, May.
- Liu, Xiaoliang & Filler, Gunther & Odening, Martin, 2012. "Testing for Speculative Bubbles in Agricultural Commodity Prices: A Regime Switching Approach," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122554, European Association of Agricultural Economists.
- Balcombe, Kelvin & Fraser, Iain, 2017. "Do bubbles have an explosive signature in markov switching models?," Economic Modelling, Elsevier, vol. 66(C), pages 81-100.
- Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
- Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010.
"Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?,"
Journal of Empirical Finance, Elsevier, vol. 17(3), pages 345-361, June.
- Chris Brooks & Apostolos Katsaris, 2006. "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance icma-dp2006-07, Henley Business School, University of Reading.
- Al-Anaswah, Nael & Wilfling, Bernd, 2011.
"Identification of speculative bubbles using state-space models with Markov-switching,"
Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1073-1086, May.
- Nael Al-Anaswah & Bernd Wilfling, 2009. "Identification of speculative bubbles using state-space models with Markov-switching," CQE Working Papers 0309, Center for Quantitative Economics (CQE), University of Muenster.
- Emmanuel Carré & Laurent Le Maux, 2024.
"Bernanke and Kindleberger on financial crises, 1978–2003,"
Oxford Economic Papers, Oxford University Press, vol. 76(2), pages 314-329.
- Emmanuel Carré & Laurent Le Maux, 2023. "Bernanke and Kindleberger on financial crises, 1978–2003," Post-Print hal-04201556, HAL.
- Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2019.
"On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators,"
Quantitative Finance, Taylor & Francis Journals, vol. 19(5), pages 843-858, May.
- Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017. "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers 201752, University of Pretoria, Department of Economics.
- Dirk G Baur & Kristoffer Glover, 2012. "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Vipin Arora & Shuping Shi, 2013. "A Heterogenous Agent Foundation for Tests of Asset Price Bubbles," CAMA Working Papers 2013-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Charles Shaw, 2018. "Conditional heteroskedasticity in crypto-asset returns," Papers 1804.07978, arXiv.org, revised Dec 2018.
- Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2022. "The first real estate bubble? Land prices and rents in medieval England c. 1300–1500," Research in International Business and Finance, Elsevier, vol. 62(C).
- Anderson, Keith & Brooks, Chris, 2014.
"Speculative bubbles and the cross-sectional variation in stock returns,"
International Review of Financial Analysis, Elsevier, vol. 35(C), pages 20-31.
- Chris Brooks & Keith Anderson, 2012. "Speculative Bubbles and the Cross-Sectional Variation in Stock Returns," ICMA Centre Discussion Papers in Finance icma-dp2013-01, Henley Business School, University of Reading, revised Nov 2013.
- Steenkamp, Daan, 2018.
"Explosiveness in G11 currencies,"
Economic Modelling, Elsevier, vol. 68(C), pages 388-408.
- Daan Steenkamp, 2017. "Explosiveness in G11 currencies," Reserve Bank of New Zealand Discussion Paper Series DP2017/02, Reserve Bank of New Zealand.
- Yue-Jun Zhang & Ting Yao & Zi-Yi Wang, 2015. "The bubble process of international crude oil futures prices: empirical evidence from the STAR model," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 109-125.
- Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
- Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos, 2012. "Exchange rate bubbles: Fundamental value estimation and rational expectations test," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1033-1059.
- Christopher L. Gilbert & Simone Pfuderer, 2014. "The financialization of food commodity markets," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 6, pages 122-148, Edward Elgar Publishing.
- Baur, Dirk G. & Glover, Kristoffer J., 2015. "Speculative trading in the gold market," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 63-71.
- Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.
- Tzika, Paraskevi & Pantelidis, Theologos, 2024. "Economic policy uncertainty as an indicator of abrupt movements in the US stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 93-103.