Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities.
We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle (at l...
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| 主要な著者: | , , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Public Library of Science (PLoS)
2016-01-01
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| シリーズ: | PLoS ONE |
| オンライン･アクセス: | http://europepmc.org/articles/PMC5091919?pdf=render |
| タグ: |
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