All Outputs (2)

Gaussian and non-Gaussian models for financial bubbles via econophysics (2011)
Journal Article
Fry, J. (2011). Gaussian and non-Gaussian models for financial bubbles via econophysics. Hyperion International Journal of Econophysics and New Economy, 4(1), 7-22

We develop a rational expectations model of financial bubbles and study how the risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model: namely, that the price must raise prior to... Read More about Gaussian and non-Gaussian models for financial bubbles via econophysics.

Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)
Journal Article
Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging markets review, 12(3), 272-292. https://doi.org/10.1016/j.ememar.2011.04.003

In this paper we employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994–2009. Results distinguish between two different regim... Read More about Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach.