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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Detalles Bibliográficos
Autores principales: Zhang, Qun, Zhang, Qunzhi, Sornette, Didier
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2016
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5091919/
https://www.ncbi.nlm.nih.gov/pubmed/27806093
http://dx.doi.org/10.1371/journal.pone.0165819

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5091919/
https://www.ncbi.nlm.nih.gov/pubmed/27806093
http://dx.doi.org/10.1371/journal.pone.0165819

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