The volatility-confined LPPL model

A consistent model of 'explosive' financial bubbles with mean-reverting residuals
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Author
Lin, L.
Ren, R.E.
Sornette, Didier
Date
2014-05
Type
    Journal Article
Publication status
published
External links
Journal / series
International Review of Financial Analysis
Volume
33
Pages / Article No.
210 - 225
Publisher
North-Holland
Subject
Rational bubbles; Mean reversal; Positive feedbacks; Finite-time singularity; Super-exponential growth; Bayesian analysis; Log-periodic power law; Stochastic discount factor
Notes
Received 16 September 2013, Revised 18 February 2014, Accepted 21 February 2014, Available online 12 March 2014.
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Citations
Cited 34 times in Web of Science
ETH Bibliography
yes
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