Statistically detectable rational bubbles
Simonetti, Viola (A.A. 2023/2024) Statistically detectable rational bubbles. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 58. [Master's Degree Thesis]
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Abstract/Index
Can bubbles arise in efficient markets? Efficient capital markets. Rational behavior and bubbles. Literature review on rational bubbles. Bubbles and behavioral economics. The asset pricing model. Rational bubble model. Periodically collapsing bubbles. Log-linear approximation. Methodologies to detect and date rational bubbles. A recursive right-tailed unit root test for rational bubbles detection. Date stamping algorithm. Empirical application results. S&P500 application. Fama-French 49 industries.
References
Bibliografia: pp. 54-57.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 09 Jan 2025 15:47 |
| Last Modified: | 09 Jan 2025 15:47 |
| URI: | https://tesi.luiss.it/id/eprint/40880 |
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