Dating the Timeline of Financial Bubbles During the Subprime Crisis

Dating the Timeline of Financial Bubbles During the Subprime Crisis

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dati...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Financial bubbles
crashes
date stamping
explosive behavio
;migration
mildly explosive process
subprime crisis
timeline
Econometrics
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/1153
https://ink.library.smu.edu.sg/context/soe_research/article/2152/viewcontent/DatingSubprime.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1153
https://ink.library.smu.edu.sg/context/soe_research/article/2152/viewcontent/DatingSubprime.pdf

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