A study on asset price bubble dynamics: explosive trend or quadratic variation?

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-05-29 DOI:10.1080/14697688.2024.2342897

Robert A. Jarrow, Simon S. Kwok

引用次数: 0

Abstract

This paper posits that when an asset exhibits a bubble, its price process can be unbounded from above in finite time with positive probability if a quadratic variation (QV) risk premium is large en...

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资产价格泡沫动态研究：爆炸趋势还是二次变化？

本文假定，当一种资产出现泡沫时，如果二次变化（QV）风险溢价很大，那么其价格过程就会在有限的时间内以正概率自上而下地无约束。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.