Brooks et al., 2005 - Google Patents

A three‐regime model of speculative behaviour: Modelling the evolution of the S&P 500 Composite Index

Brooks et al., 2005

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Document ID
10343645285312265998
Author
Brooks C
Katsaris A
Publication year
Publication venue
The Economic Journal

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We examine whether a three‐regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to …
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