Detecting log-periodicity in a regime-switching model of stock returns
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Publication:3605233
DOI10.1080/14697680701689620zbMATH Open1154.91435OpenAlexW1967483281MaRDI QIDQ3605233FDOQ3605233
Author name not available (Why is that?)
Publication date: 23 February 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701689620
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Cites Work
- Markov chains for exploring posterior distributions. (With discussion)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Calculating posterior distributions and modal estimates in Markov mixture models
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Using simulation methods for bayesian econometric models: inference, development,and communication
- Monte Carlo sampling methods using Markov chains and their applications
- Elements for a theory of financial risks
- Introduction to Econophysics
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
- A Bayesian analysis of log-periodic precursors to financial crashes
- Characterization of large price variations in financial markets
- DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
- Predicting critical crashes? A new restriction for the free variables
Cited In (12)
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Bayesian Value-at-Risk with product partition models
- A Regime-Switching Model of Long-Term Stock Returns
- Detection of financial bubbles using a log-periodic power law singularity (LPPLS) model
- Can log-periodic power law structures arise from random fluctuations?
- Bubbles, shocks and elementary technical trading strategies
- SEARCH FOR LOG-PERIODIC OSCILLATIONS IN STOCK MARKET SIMULATIONS
- A stable and robust calibration scheme of the log-periodic power law model
- Liquidity crisis detection: an application of log-periodic power law structures to default prediction
- A Bayesian analysis of log-periodic precursors to financial crashes
- Multivariate bubbles and antibubbles
- Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models
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