Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side u...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., WU, Yangru, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Explosive root
irrational exuberance
mildly explosive process
Nasdaq bubble
periodically collapsing bubble
sup test
unit root test
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1155
https://ink.library.smu.edu.sg/context/soe_research/article/2154/viewcontent/IERMS22578Revised.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1155
https://ink.library.smu.edu.sg/context/soe_research/article/2154/viewcontent/IERMS22578Revised.pdf

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