A Bayesian analysis of log-periodic precursors to financial crashes
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Publication:5475309
DOI10.1080/14697680500511017zbMath1132.91011OpenAlexW2096665279MaRDI QIDQ5475309
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Publication date: 16 June 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500511017
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Related Items (9)
Liquidity crisis detection: an application of log-periodic power law structures to default prediction ⋮ A stable and robust calibration scheme of the log-periodic power law model ⋮ Bubbles, shocks and elementary technical trading strategies ⋮ Bayesian log-periodic model for financial crashes ⋮ Multivariate bubbles and antibubbles ⋮ Dynamic bifurcations on financial markets ⋮ Prediction accuracy and sloppiness of log-periodic functions ⋮ Can log-periodic power law structures arise from random fluctuations? ⋮ Detecting log-periodicity in a regime-switching model of stock returns
Cites Work
- Understanding spurious regressions in econometrics
- Spurious regressions in econometrics
- Predicting critical crashes? A new restriction for the free variables
- DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- THEORY OF SELF-SIMILAR OSCILLATORY FINITE-TIME SINGULARITIES
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