Exit strategies in bubble-like markets using a changepoint model-Reference-Cited by-同舟云学术

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Exit strategies in bubble-like markets using a changepoint model

Published:2016-01 Issue:1 Volume:4 Page:47-52
ISSN:2164-9502
Container-title:Quantitative Finance Letters
language:en
Short-container-title:Quantitative Finance Letters

Author:

Zhitlukhin M. V.¹²,Ziemba W. T.³⁴

Affiliation:

1. Steklov Mathematical Institute, Moscow, Russia

2. National Research University Higher School of Economics (HSE), Moscow, Russia

3. University of British Columbia (Emeritus), Vancouver, Canada

4. Systemic Risk Centre, London School of Economics, UK

Publisher

Informa UK Limited

Subject

Microbiology (medical),Immunology,Immunology and Allergy

Link

https://www.tandfonline.com/doi/pdf/10.1080/21649502.2015.1165918

Reference22 articles.

1. BUBBLES AND FADS IN ASSET PRICES

2. The bond-stock yield differential as a risk indicator in financial markets

3. Empirical properties of asset returns: stylized facts and statistical issues

4. Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Precipitation forecast estimation applying the change point method and ARIMA;Cogent Engineering;2024-04-16

2. Model Misspecification in Discrete Time Bayesian Online Change Detection;Methodology and Computing in Applied Probability;2023-02-17

3. Change-point analysis of the demand for medicines;Journal of Physics: Conference Series;2020-03-01

4. Testing the Stochastic Disorder Model on Stock Markets;SSRN Electronic Journal;2017

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