Quantitative Finance Letters, Volume 4, Issue 1 (2016)

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Quantitative Finance Letters, Volume 4, Issue 1 (2016)

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Bubbles and Crashes

Introduction
Introduction
Sébastien Lleo & William T. Ziemba
Pages: 1-3
Published online: 13 Jun 2016
First Page PreviewforIntroduction | Full Text | PDF (262.3 KB)
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Article
Testing for asset price bubbles: three new approaches
Robert Jarrow
Pages: 4-9
Published online: 13 Jun 2016
AbstractforTesting for asset price bubbles: three new approaches | Full Text | References | PDF (524.2 KB)
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Article
Mathematical models of bubbles
Philip Protter
Pages: 10-13
Published online: 13 Jun 2016
AbstractforMathematical models of bubbles | Full Text | References | PDF (99.5 KB)
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Article
Credit market bubble building? A forming credit bubble could burst by 2017
Edward I. Altman & Brenda J. Kuehne
Pages: 14-18
Published online: 13 Jun 2016
AbstractforCredit market bubble building? A forming credit bubble could burst by 2017 | Full Text | PDF (1.1 MB)
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Article
The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications
Sebastien Lleo & William T. Ziemba
Pages: 19-25
Published online: 13 Jun 2016
AbstractforThe bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications | Full Text | References | PDF (438 KB)
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Article
The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction
Sébastien Lleo & William T. Ziemba
Pages: 26-34
Published online: 16 Jun 2016
AbstractforThe bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction | Full Text | References | PDF (1.9 MB)
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Article
Using Zweig’s monetary and momentum models in the modern era
John Swetye & William T. Ziemba
Pages: 35-39
Published online: 13 Jun 2016
AbstractforUsing Zweig’s monetary and momentum models in the modern era | Full Text | References | PDF (85.8 KB)
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Article
A simple procedure to incorporate predictive models in a continuous time asset allocation
Mark Davis & Sébastien Lleo
Pages: 40-46
Published online: 13 Jun 2016
AbstractforA simple procedure to incorporate predictive models in a continuous time asset allocation | Full Text | References | PDF (528 KB)
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Article
Exit strategies in bubble-like markets using a changepoint model
M. V. Zhitlukhin & W. T. Ziemba
Pages: 47-52
Published online: 27 Jun 2016
AbstractforExit strategies in bubble-like markets using a changepoint model | Full Text | References | PDF (508.2 KB)
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Article
Non-predictable stock market declines
William T. Ziemba
Pages: 53-59
Published online: 27 Jun 2016
AbstractforNon-predictable stock market declines | Full Text | References | PDF (607.1 KB)
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Original Articles

Article
Modelling the efficiency of universal banks in Ghana
Michael Adusei
Pages: 60-70
Published online: 14 Feb 2017
AbstractforModelling the efficiency of universal banks in Ghana | Full Text | References | PDF (419.9 KB)
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Article
Acquirers gain twice as much as targets in M&As: a different perspective on a longstanding perception
Tarcisio da Graça & Robert Masson
Pages: 71-76
Published online: 02 Mar 2017
AbstractforAcquirers gain twice as much as targets in M&As: a different perspective on a longstanding perception | Full Text | References | PDF (178.9 KB)
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Letter

Letter
An empirical study of the dynamics of implied volatility indices: international evidence
Bujar Huskaj & Karl Larsson
Pages: 77-85
Published online: 14 Mar 2017
AbstractforAn empirical study of the dynamics of implied volatility indices: international evidence | Full Text | References | PDF (434.5 KB)
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Explore articles

Explore the most recently published articles

Introduction
Sébastien Lleo et al.
Introduction | Published online: 13 Jun 2016
Open Access
Testing for asset price bubbles: three new approaches
Robert Jarrow
Article | Published online: 13 Jun 2016
Open Access
Mathematical models of bubbles
Philip Protter
Article | Published online: 13 Jun 2016
Open Access
The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications
Sebastien Lleo et al.
Article | Published online: 13 Jun 2016
Open Access