Testing for bubbles and change-points

DOI10.1016/J.JEDC.2004.01.005zbMATH Open1202.91349OpenAlexW2097012854MaRDI QIDQ953776FDOQ953776

Gilles Teyssière, Alan P. Kirman

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.01.005

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zbMATH Keywords

waveletschange-pointbubbleslong-memory heteroskedasticitymarket interactionpseudo long-memory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)

Cites Work

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Cited In (2)

• Title not available (Why is that?)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

Uses Software

• Diehard
• longmemo

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