Journal
FINANCE RESEARCH LETTERS
Volume 58, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2023.104238
Keywords
Online multiple testing procedure; False discovery proportion; Exceedance control of the false discovery; proportion; Bubble dating
Categories
Ask authors/readers for more resources
This paper addresses the real-time detection of financial bubbles using LORD online procedures and appropriate p-value calibration, which offers new potential tools for economists to monitor and respond to bubbles in real time. The findings have significant implications for financial stability and crisis prevention. LORD algorithms are tested on globally recognized stock indexes and their effectiveness is confirmed through comparison with standard offline approaches.
The paper addresses the problem of real-time detection of financial bubbles which, after the latest global crises, have become an issue of economic concern. It shows how some online procedures, called LORD, implemented using an appropriate p-value calibration, represent new potential tools for economists to monitor and respond to bubbles in real time. This has substantial implications for financial stability and crisis prevention. LORD algorithms are applied to some well recognized global stock indexes to test their reliability across a variety of financial scenarios. A comparison with standard offline approaches confirms their effectiveness.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available