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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| Autores principales: | , , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Public Library of Science (PLoS)
2016-01-01
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| Colección: | PLoS ONE |
| Acceso en línea: | http://europepmc.org/articles/PMC5091919?pdf=render |
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