Testing for explosive bubbles in the presence of non-Gaussian conditions
Author:
Funder
National Natural Science Foundation of China
China Postdoctoral Science Foundation
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference12 articles.
1. Unit root quantile autoregression testing using covariates;Galvao;Journal of econometrics,2009
2. Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility;Harvey;Econometric Theory,2020
3. Testing for speculative bubbles in stock markets: a comparison of alternative methods;Homm;Journal of Financial Econometrics,2012
4. Unit root quantile autoregression inference;Koenker;Journal of the American statistical association,2004
5. Testing for a unit root in a nonlinear quantile autoregression framework;Li;Econometric Reviews,2018
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1. A simulated electronic market with speculative behaviour and bubble formation;Finance Research Letters;2024-09
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