48 citations · 83 across the 12 of their papers we have counts for
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q-fin.ST2015
Forecasting trends with asset prices
Ahmed Bel Hadj Ayed, Grégoire Loeper, Frédéric Abergel
In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filterin…
q-fin.ST2009★ 1 cited
Financial bubbles analysis with a cross-sectional estimator
Frederic Abergel, Nicolas Huth, Ioane Muni Toke
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical t…