bubble.comp.perc: Bubble component in percentage

In deanfantazzini/bubble: Tests for financial bubbles and explosive behavior

Description

This function computes the bubble component (in percentage) using eq.(16) on page 34 of Cheah and Fry (2015)

Usage

bubble.comp.perc(alpha.est, beta.est, v, num.obs)

Arguments

alpha.est	is a parameter from hazard function
beta.est	is a parameter from hazard function
v	is equal to - ln[(1 - k)] > 0 and it is a key parameter of the Fry (2014) model
num.obs	is the number of time observations

Details

This function computes the bubble component (in percentage) using eq.(16) on page 34 of Cheah and Fry (2015)

Value

bubble.component is the bubble component (in percentage)

References

Cheah, E.T., and Fry,J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36.

Fry, J. (2014). Multivariate bubbles and antibubbles. The European Physical Journal B, 87(8), 174.

Examples

bubble.comp.perc(alpha.est=33.84404, beta.est=1.135961, v=0.546, num.obs=333)

deanfantazzini/bubble documentation built on Oct. 22, 2020, 2:43 p.m.