Finance Research Seminar – Professor Rob Sollis

Title: Forecasting Asset Prices in the Presence of Bubbles: Can Date-Stamping Help?

Date: 12 February 2025

Time: 14:00 – 15:00

Venue: FDC.1.17

If you would like to attend, please register using the following link:

Forecasting Asset Prices in the Presence of Bubbles: Can Date-Stamping Help?

Speaker:  Professor Rob Sollis

Professor Robert Sollis, Professor of Financial Econometrics, Newcastle University

Abstract:

Recent research indicates that price series for many financial assets show structural shifts across periods of normal growth, explosive expansion, and collapse, often due to price bubbles. This seminar will explore how to forecast asset prices using standard time series models under such conditions. Professor Sollis proposes a two-step approach: first, applying new techniques to date-stamp historical bubbles, and second, using these date-stamping results to inform the forecasting model selection and parameter estimation. The effectiveness of this approach is demonstrated through simulation experiments and an application to forecasting house price indices.