Probabilistic forecasting of bubbles and flash crashes
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Publication:5083227
DOI10.1093/ECTJ/UTAA004OpenAlexW2993599786MaRDI QIDQ5083227FDOQ5083227
Guillaume Chevillon, Marie Kratz, Anurag N. Banerjee
Publication date: 22 June 2022
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: http://dro.dur.ac.uk/29692/1/29692.pdf
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Cited In (10)
- Testing for explosive bubbles: a review
- FORECASTING STOCK MARKET CRASHES VIA REAL-TIME RECESSION PROBABILITIES: A QUANTUM COMPUTING APPROACH
- A first order continuous time <scp>VAR</scp> with random coefficients
- Stochastic local and moderate departures from a unit root and its application to unit root testing
- Testing for strict stationarity in a random coefficient autoregressive model
- Random autoregressive models: A structured overview
- Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
- Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
- Bubbles and crashes: gradient dynamics in financial markets
- Bubble detection and sector trading in real time
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