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

• 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
• Institution: Singapore Management University

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....