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Tekijä: | Brooks, C. Katsaris, A. |
Otsikko: | A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index |
Lehti: | Economic Journal
2005 : JUL, VOL. 115:505, p. 767-797 |
Asiasana: | |
Vapaa asiasana: | s&p composite index three-regime model |
Kieli: | eng |
Tiivistelmä: | This article studies whether a three-regime model that allows dormant, explosive and collapsing speculative behavior can explain the dynamics of the S&P 500. The authors extend the existing models by introducing a third regime. The article also discusses the financial usefulness of the three regime model. |
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