Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors

Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evo...

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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 2013
Subjects:
Bubble duration
Consistency
Dating algorithm
Limit theory
Multiple bubbles
Real time detector.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1511
https://ink.library.smu.edu.sg/context/soe_research/article/2510/viewcontent/05_2013.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1511
https://ink.library.smu.edu.sg/context/soe_research/article/2510/viewcontent/05_2013.pdf

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