Testing for asset price bubbles: three new approaches
Testing for asset price bubbles: three new approaches
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测试资产价格泡沫：三种新方法
DOI：
10.1080/21649502.2015.1165838
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
R. Jarrow
中科院分区：
文献类型：
--
作者：
R. Jarrow
测试资产价格泡沫的存在是一项艰巨的任务。本文证明了泡沫的局部鞅理论提供了三种新的方法来检验资产价格泡沫的存在，其中两种目前在文献中还没有被探索。第一种是基于为资产的价格过程指定一个随机过程。第二种是利用期权价格数据，如果期权交易的资产被怀疑存在价格泡沫。第三个模型使用多因素模型来描述标的资产的回报过程。
Testing for the existence of asset price bubbles is a difficult task. This paper shows that the local martingale theory of bubbles provides three new approaches that can be used to test for the existence of asset price bubbles, two of which are currently unexplored in the literature. The first is based on specifying a stochastic process for the asset's price process. The second exploits option price data, if options trade on the asset suspected to exhibit a price bubble. The third uses a multiple-factor model for the return process of the underlying asset.