Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities.

Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities.

We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle (at l...

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Bibliographic Details
Main Authors: Qun Zhang, Qunzhi Zhang, Didier Sornette
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2016-01-01
Series:PLoS ONE
Online Access:http://europepmc.org/articles/PMC5091919?pdf=render

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