{"title":"A study on asset price bubble dynamics: explosive trend or quadratic variation?","authors":"Robert A. Jarrow, Simon S. Kwok","doi":"10.1080/14697688.2024.2342897","DOIUrl":null,"url":null,"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...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"22 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2024.2342897","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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...
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.
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