Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time
Journal Title: e-Finanse - Year 2016, Vol 12, Issue 3
Abstract
We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble behavior is presented. Estimating the critical crash-time works satisfactorily well also in the case of GHE, when substantial „decorrelation” prior to the event is visible. An extensive simulation study carried out on empirical data: stock indices and commodities, confirms very good performance of the two approaches.
Authors and Affiliations
Marcin Wątorek, Bartosz Stawiarski
Keywords
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- EP ID EP322508
- DOI 10.1515/fiqf-2016-0001
- Views 102
- Downloads 0
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