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

• Main Authors: PHILLIPS, Peter C. B., WU, Yangru, YU, Jun
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2011
• 主題: Econometrics; Finance; Finance and Financial Management; International Economics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1265; https://ink.library.smu.edu.sg/context/soe_research/article/2264/viewcontent/YuIER2011.pdf

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...