Artikel

Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time

zu Verbundenen Objekten

We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble behavior is presented. Estimating the critical crash-time works satisfactorily well also in the case of GHE, when substantial 'decorrelation' prior to the event is visible. An extensive simulation study carried out on empirical data: stock indices and commodities, confirms very good performance of the two approaches.

Sprache
Englisch

Erschienen in
Journal: e-Finanse: Financial Internet Quarterly ; ISSN: 1734-039X ; Volume: 12 ; Year: 2016 ; Issue: 3 ; Pages: 49-58 ; Rzeszów: University of Information Technology and Management

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Optimization Techniques; Programming Models; Dynamic Analysis
Thema
asset bubble
crash
Log-Periodic Power Law
Generalized Hurst Exponent
multiractality
forecasting
bursting time estimation

Ereignis
Geistige Schöpfung
(wer)
Wątorek, Marcin
Stawiarski, Bartosz
Ereignis
Veröffentlichung
(wer)
University of Information Technology and Management
(wo)
Rzeszów
(wann)
2016

DOI
doi:10.1515/fiqf-2016-0001
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Artikel

Beteiligte

  • Wątorek, Marcin
  • Stawiarski, Bartosz
  • University of Information Technology and Management

Entstanden

  • 2016

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