Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500

Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data....

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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:
Date-stamping strategy
Flexible window
Generalized sup ADF test
Multiple bubbles
Rational bubble
Periodically collapsing bubbles
Sup ADF test
Econometrics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/1795
https://ink.library.smu.edu.sg/context/soe_research/article/2794/viewcontent/P_ID_52650_TestingforMultipleBubbles1_HistoricalEpisodesExuberance_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1795
https://ink.library.smu.edu.sg/context/soe_research/article/2794/viewcontent/P_ID_52650_TestingforMultipleBubbles1_HistoricalEpisodesExuberance_pp.pdf

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