New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles
In this paper, we extend the Johansen-Ledoit-Sornette (JLS) model by introducing fundamental economic factors in China (including the interest rate and deposit reserve rate) and the historical volatilities of targeted and US equity indices into the original model, which is a flexible tool to detect...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2017-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/8017510 |