Testing for bubbles and change-points

DOI10.1016/J.JEDC.2004.01.005MaRDI QIDQ953776zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cited in

(3)

• Change-point analysis of asset price bubbles with power-law hazard function
• scientific article; zbMATH DE number 2096860 (Why is no real title available?)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

Describes a project that uses

Uses Software

• longmemo
• Diehard

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