Testing for explosive bubbles: a review (Q6160719)

scientific article; zbMATH DE number 7701185

Language	Label	Description	Also known as
English	Testing for explosive bubbles: a review	scientific article; zbMATH DE number 7701185

Statements

instance of

scholarly article

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title

Testing for explosive bubbles: a review (English)

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26 June 2023

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full work available at URL

https://arxiv.org/abs/2207.08249

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zbMATH Keywords

rational bubble

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testing for explosive bubble

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explosive autoregression

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time-varying volatility

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right-tailed unit root testing

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MaRDI profile type

MaRDI publication profile

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cites work

On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

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End-of-Sample Instability Tests

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Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity

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Real‐Time Monitoring for Explosive Financial Bubbles

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Tests for an end-of-sample bubble in financial time series

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Probabilistic forecasting of bubbles and flash crashes

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When bubbles burst: econometric tests based on structural breaks

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Unit Root Tests under Time-Varying Variances

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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

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Testing for unit roots in time series models with non-stationary volatility

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BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

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Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

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TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS

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A Sieve Bootstrap For The Test Of A Unit Root

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Bootstrapping unit root tests with covariates

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Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin

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Inference in continuous systems with mildly explosive regressors

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Testing for rational bubbles in a coexplosive vector autoregression

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Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices

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Testing for moderate explosiveness

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Asymptotic behaviour of tests for a unit root against an explosive alternative

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Testing explosive bubbles with time-varying volatility

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Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments

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SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY

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Asymptotic Behavior of Delay Times of Bubble Monitoring Tests

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Asymptotic properties of bubble monitoring tests

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root

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Asymptotic Theory and Unified Confidence Region for an Autoregressive Model

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LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS

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ANALYSIS OF COEXPLOSIVE PROCESSES

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Estimating multiple breaks in nonstationary autoregressive models

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Q4634714

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ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS

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Limit theory for moderate deviations from a unit root

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Smoothing local-to-moderate unit root theory

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FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION

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Real time monitoring of asset markets: Bubbles and crises

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Dating the timeline of financial bubbles during the subprime crisis

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INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS

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TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS

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SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES

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Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null

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Random coefficient continuous systems: testing for extreme sample path behavior

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Limit theory for an explosive autoregressive process

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The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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Identifiers

zbMATH Open document ID

1514.62173

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arXiv ID

2207.08249

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Mathematics Subject Classification ID

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10.1515/DEMO-2022-0152

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Sitelinks

Mathematics(1 entry)

mardi Publication:6160719