FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
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Publication:4569582
DOI10.1017/S0266466617000202zbMath1393.62129OpenAlexW2622783749MaRDI QIDQ4569582
Peter C. B. Phillips, Shuping Shi
Publication date: 26 June 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466617000202
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)
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Cites Work
- Limit theory for moderate deviations from a unit root
- Financial crises and interacting heterogeneous agents
- Dating the timeline of financial bubbles during the subprime crisis
- UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
- Testing for a unit root in time series regression
- Time Series Regression with a Unit Root
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Bubbles and Crashes
- TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
- TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
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