JSM 2004 Online Program

Abstract #301469

This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2004 Program page

Activity Number:	84
Type:	Contributed
Date/Time:	Monday, August 9, 2004 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #301469
Title:	Modeling Market Returns with a Speculative Bubble
Author(s):	Leonard C. MacLean*+
Companies:	Dalhousie University
Address:	6152 Coburg Rd., Halifax, NS, B3H 3J5, Canada
Keywords:	securities ; bubbles ; shocks ; returns
Abstract:	We define a model for market returns, which, under certain conditions, determines the emergence of a speculative bubble in the economy, and drives more generally bond and equity returns. The dynamic equations in the model contain a shock term, whose size and intensity depend on yield differentials. A methodology for fitting parameters and shocks to actual returns is presented. Fitting the shocks requires solving an integer programming problem. The methods are applied to data on U.S. bonds and securities.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2004 program