Dating the Timeline of Financial Bubbles During the Subprime Crisis

• المؤلفون الرئيسيون: PHILLIPS, Peter C. B., YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Financial bubbles; crashes; date stamping; explosive behavior; migration; mildly explosive process; subprime crisis; timeline; Econometrics; Economics; Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1317; https://ink.library.smu.edu.sg/context/soe_research/article/2316/viewcontent/YuQE.pdf
• المؤسسة: Singapore Management University

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...