Real-Time Monitoring for Explosive Financial Bubbles
Author:
Affiliation:
1. Essex Business School; University of Essex; Colchester UK
2. Granger Centre for Time Series Econometrics, School of Economics; University of Nottingham; Nottingham UK
3. Newcastle University Business School; Newcastle upon Tyne UK
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12409/fullpdf
Reference14 articles.
1. End-of-sample instability tests;Andrews;Econometrica,2003
2. Tests for cointegration breakdown over a short time period;Andrews;Journal of Business and Economic Statistics,2006
3. Tests for an end-of-sample bubble in financial time series;Astill;Econometric Reviews,2017
4. Time-transformed unit root tests for models with non-stationary volatility;Cavaliere;Journal of Time Series Analysis,2008
5. Explosive rational bubbles in stock prices?;Diba;American Economic Review,1988
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