Abstract
When talking about financial assets in the context of bubbles we must make a fine distinction between the price and the value of a security.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
Milgrom, P. and Stokey, N. (1982). Information, Trade and Common Knowledge. Journal of Economic Theory, 26 (1), pp. 17ā27.
- 2.
- 3.
- 4.
Mandelbrot, B. (1963). The Variation of Certain Speculative Prices. Journal of Business, 36, pp. 394ā419.
- 5.
http://www.sec.gov/divisions/marketreg/bdguide.htm. Guide to Broker-Dealer Registration, Division of Trading and Markets U.S. Securities and Exchange Commission, April 2008.
- 6.
Black, F. and Scholes, M. (1973). The Pricing of Options and Corporate Liabilitiesā. Journal of Political Economy, 81, pp. 637ā654.
- 7.
White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48, pp. 817ā38 and White H. (1984). Asymptotic theory for econometricians (New York: Academic Press).
- 8.
Durbin J. and Watson G.S. (1951). Testing for Serial Correlation in Least Squares Regression. Biometrika, 38, pp. 159ā171.
- 9.
Dickey D.A. and Fuller W.A. (1979). Distribution of Estimators for Time Series Regression with a Unit Root. Journal of the American Statistical Association, 74, pp. 427ā431; Dickey D.A. and Fuller W.A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), pp. 1057ā1072.
- 10.
Fountis N.G.and Dickey D.A. (1989). Testing for a Unit Root Nonstationarity in Multivariate Autoregressive Time Series. The Annals of Statistics, 17(1), pp. 419ā428.
- 11.
Jarque and C.M. and Bera A.K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), pp. 255ā259. doi:10.1016/0165-1765(80)90024-5; Jarque and C.M. and Bera A.K. (1981). Efficient tests for normality, homoscedasticity and serial independence of regression residuals: Monte Carlo evidence. Economics Letters, 7(4), pp. 313ā318. doi:10.1016/0165-1765(81)90035-5; Jarque and C.M. and Bera A.K. (1987). A test for normality of observations and regression residuals. International Statistical Review, 55(2), pp. 163ā172.
- 12.
Asteriou, D. and Hall, S.G. (2011). ARIMA Models and the BoxāJenkins Methodology. Applied Econometrics, Second ed., (Palgrave Macmillan), pp.Ā 265ā286.
- 13.
Box, G.E.P. and Jenkins, G.M. (1976). Time series Analysis: Forecasting and Control. 2nd edn. (Holden-Day, San Francisco).
- 14.
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, pp. 307ā327; Taylor, S.J. (1986). Forecasting the Volatility of Currency Exchange Rates. International Journal of Forecasting, 3, pp. 159ā170.
Author information
Authors and Affiliations
Corresponding author
Copyright information
Ā© 2017 The Author(s)
About this chapter
Cite this chapter
Porras, E.R. (2017). Asset Price Dynamics and Stochastic Processes. In: Bubbles and Contagion in Financial Markets, Volume 2. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-52442-3_1
Download citation
DOI: https://doi.org/10.1057/978-1-137-52442-3_1
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-52441-6
Online ISBN: 978-1-137-52442-3
eBook Packages: Economics and FinanceEconomics and Finance (R0)