Detecting log-periodicity in a regime-switching model of stock returns

DOI10.1080/14697680701689620MaRDI QIDQ3605233zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

Bayesian analysisregime-switchingeconophysicsasset pricinglog-periodicity

Mathematics Subject Classification ID

Recommendations

• A statistical analysis of log-periodic precursors to financial crashes
• Significance of log-periodic precursors to financial crashes
• A Bayesian analysis of log-periodic precursors to financial crashes
• More on a statistical analysis of log-periodic precursors to financial crashes
• The log-periodic-AR(1)-GARCH(1,1) model for financial crashes

Cites work

• A Bayesian analysis of log-periodic precursors to financial crashes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Calculating posterior distributions and modal estimates in Markov mixture models
• Characterization of large price variations in financial markets
• Discrete scale invariance in stock markets before crashes
• Elements for a theory of financial risks
• Introduction to Econophysics
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Predicting critical crashes? A new restriction for the free variables
• Sampling-Based Approaches to Calculating Marginal Densities
• Spurious regressions in econometrics
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Understanding spurious regressions in econometrics
• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(15)

• Consumption-investment problem with pathwise ambiguity under logarithmic utility
• Bayesian value-at-risk with product partition models
• A statistical analysis of log-periodic precursors to financial crashes
• More on a statistical analysis of log-periodic precursors to financial crashes
• 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
• The JLS model with ARMA/GARCH errors
• 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

This page was built for publication: Detecting log-periodicity in a regime-switching model of stock returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3605233)