Dating the timeline of financial bubbles during the subprime crisis the rules book and dating

02 Mar

Second, the implementation of this procedure is straightforward as the detection, dating, and estimation of bubbles are done simultaneously in a coherent Bayesian framework. Third, the i HMM, by assuming hierarchical structures, is parsimonious and superior in out-of-sample forecast. We find prominent results, which have not been discovered by the existing finite hidden Markov model. Commodity pricing power is not the ability to raise or lower commodity prices, but the ability to wield the price discovering function of the futures market, driving price fluctuations in accordance with the economic cycle and decreasing price manipulation. This paper, using the Time-Varying Parameter Vector Auto-regression (TVP-VAR) method, studies the influence coefficients with the yield series data for copper futures in SHFE, LME and CMX.

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Even today, there is little value in opposing the threat of a closed society by imitating its arbitrary restrictions.

They force compliance by threatening to take away the things you need.

The more independent from the system you are the less control they have on you.

Three features make this new approach attractive to practitioners. Speculative bubbles with stochastic explosive roots: The failure of unit root testing.

First, the i HMM is capable of capturing the nonlinear dynamics of different types of bubble behaviors as it allows an infinite number of regimes.