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Fitting the Log Periodic Power Law to financial crashes: a critical analysis
Log Periodic Power Law financial crashes critical analysis
2010/10/18
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain rang...
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
The log-periodic-AR(1)-GARCH(1,1) model financial crashes
2010/12/13
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate...