Detectarea regimurilor de bule financiare speculative pe principalele piete de capital din Europa

Mihai Mitrache ()

Romanian Statistical Review Supplement, 2017, vol. 65, issue 11, 108-125

Abstract: Acest articol examineazã regimurile de bule financiare speculative inregistrate pe principalele piete de capital din Europa utilizand modelul Log-Periodic Power Law. Modelul Log-Periodic Power Law (LPPL) este un model consistent, capabil sa detecteze bulele financiare explozive, care combina o revenire conditionata a rezidirilor la medie si care reflectã opiniile pozitive si neliniare ale investitorilor. Regimul impus de model este unul mai rapid ca un regim exponential, combinat cu oscilatii logaritmice.

Keywords: bula financiara speculativa; modelare financiara; Modelul Log-Periodic Power Law (search for similar items in EconPapers)
JEL-codes: C10 C20 C49 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:rsr:supplm:v:65:y:2017:i:11:p:108-125

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