文献类型：期刊文献

英文题名：The volatility-confined LPPL model: A consistent model of 'explosive' financial bubbles with mean-reverting residuals

作者：Lin, L.[1,2,3];Ren, R. E.[3];Sornette, D.[2,4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Swiss Fed Inst Technol, Dept Management Technol & Econ, Chair Entrepreneurial Risks, CH-8032 Zurich, Switzerland;[3]Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China;[4]Swiss Finance Inst, Zurich, Switzerland;[5]Univ Geneva, CH-1211 Geneva 4, Switzerland

年份：2014

卷号：33

起止页码：210

外文期刊名：INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

收录：;WOS:【SSCI(收录号:WOS:000338818500019)】；

语种：英文

外文关键词：Rational bubbles; Mean reversal; Positive feedbacks; Finite-time singularity; Super-exponential growth; Bayesian analysis; Log-periodic power law; Stochastic discount factor

摘要：Using the concept of the stochastic discount factor with critical behavior, we present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns exhibit faster-than-exponential acceleration decorated by accelerating oscillations, called "log-periodic power law" (LPPL). Tests on residuals show a remarkable, low rate (0.2%) of false positives when applied to a GARCH benchmark. When tested on the S&P500 US index from Jan. 3, 1950 to Nov. 21, 2008, the model correctly identifies the bubbles ending in Oct. 1987, in Oct. 1997, and in Aug. 1998 and the ITC bubble ending on the first quarter of 2000. Different unit-root tests confirm the high relevance of the model specification. Our model also provides a diagnostic for the duration of bubbles: applied to the period before the Oct. 1987 crash, there is clear evidence that the bubble started at least 4 years earlier. We confirm the validity and universality of the volatility-confined LPPL model on seven other major bubbles that have occurred in the World in the last two decades. Using Bayesian inference, we find a very strong statistical preference for our model compared with a standard benchmark, in contradiction with Chang and Feigenbaum (2006) which used a unit-root model for residuals. (C) 2014 Elsevier Inc. All rights reserved.