Multi-dimensional rational bubbles and fat tails

Yannick Malevergne and Didier Sornette

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Abstract: Lux and Sornette have demonstrated that the tails of the unconditional distributions of price differences and of returns associated with the model of rational bubbles of Blanchard and Watson follow power laws (i.e. exhibit hyperbolic decline), with an asymptotic tail exponent μ

Date: 2001-10-01
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Citations: View citations in EconPapers (13)

Published in Quantitative Finance, 2001, 1 (5), pp.533-541 P

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312893

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