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2016 | 12 | nr 3 | 49--58
Tytuł artykułu

Log-Periodic Power Law and Generalized Hurst Exponent Analysis in Estimating an Asset Bubble Bursting Time

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Języki publikacji
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 fiffing 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. (original abstract)
Opis fizyczny
  • Polish Academy of Sciences
  • Cracow University of Technology
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