Testing for multiple bubbles: Limit theory of real-time detectors

Testing for multiple bubbles: Limit theory of real-time detectors

This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Revi...

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Bibliographic Details
Main Authors: Peter C. B. PHILLIPS, SHI, Shuping, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Bubble duration
Consistency
Dating algorithm
Limit theory
Multiple bubbles
Real time detector
Econometrics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/1794
https://ink.library.smu.edu.sg/context/soe_research/article/2793/viewcontent/P_ID_52651_TestingforMultipleBubbles2_LimitTheoryRealTime_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1794
https://ink.library.smu.edu.sg/context/soe_research/article/2793/viewcontent/P_ID_52651_TestingforMultipleBubbles2_LimitTheoryRealTime_pp.pdf

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