A project to detect and study the co-occurrence of price bubbles
收藏DataCite Commons2025-05-28 更新2026-05-04 收录
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https://mostwiedzy.pl/en/open-research-data/a-project-to-detect-and-study-the-co-occurrence-of-price-bubbles,50612160151496-0
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资源简介：
The dataset contains an R-project with five procedures dedicated to calculating/conducting (in parentheses, the name of the procedure is given):
• (ART) – statistical test value for GSADF procedure, critical values from Monte Carlo simulation with 2,000 repetitions, characteristics for detected price bubbles periods.• (Correlation) – phi correlation coefficient for price bubble periods.• (Descriptive statistics) – a set of descriptive statistics for the input file. As a result, the user receives value for: Mean, Median, Standard_Deviation, Kurtosis, Skewness, Range, Minimum, Maximum, JB_Statistic, JB_pval, Count.• (Logistic regression) – logistic regression models, using backwards stepwise regression.• (Trees) – random forest method.
The project was funded in whole by the Poland National Science Centre [registration number 2024/08/X/HS4/00044]. Title: Characteristics and co-occurrence of price bubbles on the art investment market and selected capital markets.
提供机构：
Gdańsk University of Technology
创建时间：
2025-05-06
