A study on asset price bubble dynamics: explosive trend or quadratic variation?

DOI10.1080/14697688.2024.2342897zbMATH Open1542.91407MaRDI QIDQ6587737FDOQ6587737

Authors: Robert A. Jarrow, Simon Sai Man Kwok 

Publication date: 14 August 2024

Published in: Quantitative Finance (Search for Journal in Brave)

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Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Title not available (Why is that?)
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for multiple bubbles: limit theory of real-time detectors
• Local martingales, bubbles and option prices
• A mathematical theory of financial bubbles
• Asset price bubbles in incomplete markets
• Complications with stochastic volatility models
• On the hedging of options on exploding exchange rates
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Moment explosions in stochastic volatility models
• Asset price bubbles: invariance theorems
• The scale of predictability
• The drift burst hypothesis

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