Testing for a rational bubble under long memory

DOI10.1080/14697688.2011.578151zbMath1279.91190OpenAlexW2024209085MaRDI QIDQ5745639

Robinson Kruse, Michael Frömmel

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.578151

zbMATH Keywords

fractional integrationrational bubbleschanging persistencedividend-price ratio

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

When bubbles burst: econometric tests based on structural breaks ⋮ Did long-memory of liquidity signal the European sovereign debt crisis? ⋮ Semiparametric Detection of Changes in Long Range Dependence

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• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root
• CUSUM of Squares‐Based Tests for a Change in Persistence

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