Improving the Accuracy of Bubble Date Estimators Under Time-Varying Volatility
Author:
Publisher
Elsevier BV
Subject
General Earth and Planetary Sciences,General Environmental Science
Reference10 articles.
1. CUSUMbased monitoring for explosive episodes in financial data in the presence of time-varying volatility;S Astill;Journal of Financial Econometrics,2023
2. Testing for unit roots in time series models with non-stationary volatility;G Cavaliere;Journal of Econometrics,2007
3. Time-transformed unit root tests for models with non-stationary volatility;G Cavaliere;Journal of Time Series Analysis,2007
4. Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem;D Harris;Journal of Econometrics,2020
5. Improving the accuracy of asset price bubble start and end date estimators;D I Harvey;Journal of Empirical Finance,2017
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