Testing for Multiple Bubbles

Testing for Multiple Bubbles

Identifying explosive bubbles that are characterized by periodically collapsing behavior over time has been a major concern in the literature and is of great importance for practitioners. The complexity of the nonlinear structure in multiple bubble phenomena diminishes the discriminatory power of ex...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., SHI, Shu-Ping, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Date-stamping strategy
Generalized sup ADF test
Multiple bubbles
Rational bubble
Periodically collapsing bubbles
Sup ADF test
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1302
https://ink.library.smu.edu.sg/context/soe_research/article/2301/viewcontent/GSADFtest_May2011D09_2011.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1302
https://ink.library.smu.edu.sg/context/soe_research/article/2301/viewcontent/GSADFtest_May2011D09_2011.pdf

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