{"title":"资产价格泡沫的爆炸时间特征","authors":"Robert A. Jarrow, Simon S. Kwok","doi":"10.1111/irfi.12404","DOIUrl":null,"url":null,"abstract":"<p>In a standard continuous time asset pricing model, this paper provides an explosion time characterization of asset price bubbles that extends the existing characterization theorems in the literature from diffusion processes to general semimartingales (which can include jumps). This characterization has a nice economic interpretation, not emphasized in the existing literature.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"23 2","pages":"469-479"},"PeriodicalIF":1.8000,"publicationDate":"2022-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12404","citationCount":"0","resultStr":"{\"title\":\"An explosion time characterization of asset price bubbles\",\"authors\":\"Robert A. Jarrow, Simon S. Kwok\",\"doi\":\"10.1111/irfi.12404\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>In a standard continuous time asset pricing model, this paper provides an explosion time characterization of asset price bubbles that extends the existing characterization theorems in the literature from diffusion processes to general semimartingales (which can include jumps). This characterization has a nice economic interpretation, not emphasized in the existing literature.</p>\",\"PeriodicalId\":46664,\"journal\":{\"name\":\"International Review of Finance\",\"volume\":\"23 2\",\"pages\":\"469-479\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2022-11-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.12404\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/irfi.12404\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/irfi.12404","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
An explosion time characterization of asset price bubbles
In a standard continuous time asset pricing model, this paper provides an explosion time characterization of asset price bubbles that extends the existing characterization theorems in the literature from diffusion processes to general semimartingales (which can include jumps). This characterization has a nice economic interpretation, not emphasized in the existing literature.
期刊介绍：
The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.
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