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

DOI10.1142/S021902491950033XzbMATH Open1454.91256OpenAlexW2969906474WikidataQ127371351 ScholiaQ127371351MaRDI QIDQ5207487FDOQ5207487

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

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zbMATH Keywords

time serieschange pointfinancial bubblepower laws

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

• A PRACTICAL ALGORITHM TO DETECT SUPEREXPONENTIAL BEHAVIOR IN FINANCIAL ASSET PRICE RETURNS

Uses Software

• changepoint

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