Man pages for deanfantazzini/bubble
Tests for financial bubbles and explosive behavior
| bubble.comp.perc | Bubble component in percentage |
| CV_BADF | Critical value sequences for the backward ADF (BADF)... |
| CV_BSADF | Critical values for the backward SADF (BSADF) statistic |
| CV_GSADF | Critical values for the generalized sup ADF (GSADF)... |
| CV_SADF | Critical values for the sup ADF (SADF) statistic. |
| DGP | Data generating process for simulations: random walk with... |
| est.war1 | Estimate the particular AR(1) model by Watanabe et... |
| est.war1.from.arp | Simulate data from a AR(p) model and estimate the particular... |
| est.war1.from.arp.original | Simulate data from a AR(p) model and estimate the particular... |
| est.war1.original | Estimate the particular AR(1) model by Watanabe et... |
| GSADF_Y | GSADF test statistic and the BSADF sequence for a real time... |
| jmf1 | Log-likelihood for the univariate bubble model by Fry (2014) |
| jmf1MK | Log-likelihood for the univariate bubble model by Fry (2014)... |
| lppl.confidence.A | Compute the LPPLS Confidence indicator which satisfies the... |
| lppl.confidence.B | Compute the LPPLS Confidence indicator which satisfies the... |
| lppl.confidence.trust.A | Compute the LPPLS Confidence and Trust indicators which... |
| lppl.confidence.trust.B | Compute the LPPLS Confidence and Trust indicators which... |
| lppl_estimate | Estimation of the LPPL model using a nonlinear optimization |
| lppl_estimate_rob_1s | 1st step LPPL estimation procedure by Geraskin and Fantazzini... |
| lppl_estimate_rob_2s | 2nd step LPPL estimation procedure by Geraskin and Fantazzini... |
| lppl_estimate_rob_3all | 3-step LPPL estimation procedure by Geraskin and Fantazzini... |
| lppl_estimate_rob_3s | 3rd step LPPL estimation procedure by Geraskin and Fantazzini... |
| lppl.resids.from.basic.estimate | Compute the residuals given the parameters estimated with the... |
| lppl_simulate | Simulate a LPPL model |
| lppl_simulate_boot | Simulate a LPPL model using bootstrap resampling of residuals |
| lppl_simulate_FS | Simulate a LPPL model using the formula in Filimonov and... |
| lppl_simulate_FS_boot | Simulate a LPPL model using bootstrap resampling of residuals... |
| normlklhd | Log-likelihood for a Gaussian random walk model |
| optimal.time.scale | Best time-scale according to the approach by Watanabe et al.... |
| SADF_Y | SADF test statistic and the BADF sequence for a real time... |
| size_GSADF | Size of the generalized sup ADF (GSADF) statistic. |
| size_SADF | Size of the sup ADF test |
| sp500 | Monthly SP500 index from 1791 till 2015 adjusted for... |
| Watanabe.bubble.index | Estimate the particular Watanabe et al.(2007a,b) model for... |
