摘要翻译:
我们着重介绍了一个非常简单的分析金融泡沫的统计工具,它已经在[1]中研究过。我们对这一统计工具进行了广泛的实证检验,并分析研究了它与股票相关性结构的联系。
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英文标题:
《Financial bubbles analysis with a cross-sectional estimator》
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作者:
Frederic Abergel, Nicolas Huth, Ioane Muni Toke
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
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PDF链接:
https://arxiv.org/pdf/0909.2885