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

DOI10.1080/14697688.2024.2342897MaRDI QIDQ6587737zbMATH OpenFDO

Authors Robert A. Jarrow, Simon Sai Man Kwok

Publication date 14 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A mathematical theory of financial bubbles
• Asset price bubbles in incomplete markets
• Asset price bubbles: invariance theorems
• Complications with stochastic volatility models
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Local martingales, bubbles and option prices
• Moment explosions in stochastic volatility models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On the hedging of options on exploding exchange rates
• Rational equilibrium asset-pricing bubbles in continuous trading models
• 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
• The drift burst hypothesis
• The scale of predictability

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