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Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles
16 references·0 citing·38 second hop
Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles (2007)Signal Extraction with Kalman Filter: A S…Bank lending and property prices in Hong Kong (2004)Bank lending and property pri…Large financial crashes (1997)Large financial crashesBubbles in Metropolitan Housing Markets (1994)Bubbles in Metropolitan Housi…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The Theory of Rational Bubbles in Stock Prices (1988)The Theory of Rational Bubble…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Asset Bubbles and Overlapping Generations (1985)Asset Bubbles and Overlapping…On the Possibility of Speculation under Rational Expectations (1982)On the Possibility of Specula…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)Market Fundamentals versus Pr…Availability: A heuristic for judging frequency and probability (1973)Availability: A heuristic for…One hundred years of land values in Chicago (1970)One hundred years of land val…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Belief in the law of small numbers. (1971)Subjective probability: A judgment of representativeness (1972)On the psychology of prediction. (1973)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Telling more than we can know: Verbal reports on mental processes. (1977)An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money (1958)A Random Walk Down Wall Street (1973)Variance Bounds Tests and Stock Price Valuation Models (1986)Overlapping families of infinitely-lived agents (1989)Chapter 25 Government debt (1999)The monetary dynamics of hyperinflation (1956)Stock Prices and Social Dynamics (1984)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Agreeing to Disagree (1976)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1991)Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Does the Stock Market Overreact? (1985)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Presidential Address: Discount Rates (2011)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
this work references cited by second hop

References

  • 1973Availability: A heuristic for judging frequency and probability9,980 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 1982On the Possibility of Speculation under Rational Expectations959 cited
  • 1985Asset Bubbles and Overlapping Generations853 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1980Market Fundamentals versus Price-Level Bubbles: The First Tests544 cited
  • 1994Bubbles in Metropolitan Housing Markets541 cited
  • 1988The Theory of Rational Bubbles in Stock Prices397 cited
  • 2004Bank lending and property prices in Hong Kong337 cited
  • 1970One hundred years of land values in Chicago285 cited
  • 1997

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Large financial crashes
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