TY - JOUR
T1 - Dating financial bubbles via online multiple testing procedures
AU - Genoni, Giulia
AU - Quatto, Piero
AU - Vacca, Gianmarco
PY - 2023
Y1 - 2023
N2 - The paper addresses the problem of real-time detection of financial bubbles which, after the latest global crises, have become an issue of economic concern. It shows how some online procedures, called LORD, implemented using an appropriate p-value calibration, represent new potential tools for economists to monitor and respond to bubbles in real time. This has substantial implications for financial stability and crisis prevention. LORD algorithms are applied to some well recognized global stock indexes to test their reliability across a variety of financial scenarios. A comparison with standard offline approaches confirms their effectiveness.
AB - The paper addresses the problem of real-time detection of financial bubbles which, after the latest global crises, have become an issue of economic concern. It shows how some online procedures, called LORD, implemented using an appropriate p-value calibration, represent new potential tools for economists to monitor and respond to bubbles in real time. This has substantial implications for financial stability and crisis prevention. LORD algorithms are applied to some well recognized global stock indexes to test their reliability across a variety of financial scenarios. A comparison with standard offline approaches confirms their effectiveness.
KW - Bubble dating
KW - Exceedance control of the false discovery
KW - False discovery proportion
KW - Online multiple testing procedure
KW - proportion
KW - Bubble dating
KW - Exceedance control of the false discovery
KW - False discovery proportion
KW - Online multiple testing procedure
KW - proportion
UR - http://hdl.handle.net/10807/268395
U2 - 10.1016/j.frl.2023.104238
DO - 10.1016/j.frl.2023.104238
M3 - Article
SN - 1544-6123
VL - 58
SP - 1
EP - 13
JO - Finance Research Letters
JF - Finance Research Letters
ER -