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The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals

  • Published:2014-05 Issue: Volume:33 Page:210-225
  • ISSN:1057-5219
  • Container-title:International Review of Financial Analysis
  • language:en
  • Short-container-title:International Review of Financial Analysis

Author:

Lin L.,Ren R.E.,Sornette D.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference55 articles.

1. Bayesian inference in dynamic econometric models;Bauwens,2000

2. Speculative bubbles, crashes and rational expectations;Blanchard;Economics Letters,1979

3. Bubbles, rational expectations and speculative markets;Blanchard,1982

4. Predicting critical crashes? A new restriction for the free variables;Bothmer;Physica A: Statistical Mechanics and its Applications,2003

5. Fitting the log periodic power law to financial crashes: A critical analysis;Brée;International Review of Financial Analysis,2014

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