On Rational Bubbles and Fat Tails
Abstract:
his paper adresses the statistical properties of time series driven by rational bubbles ° la Blanchard and Watson (1982). The A. find that rational bubbles predict a "fat" power tail for both the bubble component and price differences with an exponent u smaller than 1
| Field | Value |
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| Description | On Rational Bubbles and Fat Tails/ Lux, Thomas - Sornette, Didier |
| Notes |
Sta in: Journal of Money, Credit And Banking n. 3, part 1, August 2002 (Vol. 34), pp. 589-610
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| ID file | 62524 |