Early warning indicator for financial crashes using the log periodic power law

Early warning indicator for financial crashes using the log periodic power law

In this article, we apply the Log Periodic Power Law (LPPL), introduced by Johansen et al. ( 2000 ), for capturing the recent stock market crash in the German stock index (Deutscher Aktien Index, DAX). The contribution of this article consists not only in describing the historical crash by the LPPL,...

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Veröffentlicht in:Applied economics letters 2012-10, Vol.19 (15), p.1465-1469
1. Verfasser: Kurz-Kim, Jeong-Ryeol
Format: Artikel
Sprache:eng
Schlagworte:
early warning
Economic analysis
Economic models
Economic power
Financial analysis
Germany
Index numbers
Indexes
log periodic power law
Stock market crashes
Stocks
Studies
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Beschreibung
Zusammenfassung:In this article, we apply the Log Periodic Power Law (LPPL), introduced by Johansen et al. ( 2000 ), for capturing the recent stock market crash in the German stock index (Deutscher Aktien Index, DAX). The contribution of this article consists not only in describing the historical crash by the LPPL, but also in demonstrating how the LPPL can be used as an early warning indicator for financial crashes.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2011.633885