Testing for Multiple Bubbles

• 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
• Institution: Singapore Management University

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...