Change-point analysis of asset price bubbles with power-law hazard function

DOI10.1142/S021902491950033XMaRDI QIDQ5207487zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 2 January 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491950033x

zbMATH Keywords

change pointfinancial bubblepower lawstime series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• Adaptive MCMC for multiple changepoint analysis with applications to large datasets
• CRASHES AS CRITICAL POINTS
• Discrete scale invariance in stock markets before crashes
• Optimal detection of changepoints with a linear computational cost
• Ranges and Midranges
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Tests for an end-of-sample bubble in financial time series
• The Econometric Modelling of Financial Time Series

Cited in

(2)

• A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS
• Share price changes using MST-based sequential change point detection

Describes a project that uses

Uses Software

• changepoint

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