Testing explosive bubbles with time-varying volatility
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Publication:5860962
DOI10.1080/07474938.2018.1536099zbMath1490.62446OpenAlexW2896420624MaRDI QIDQ5860962
David I. Harvey, Yang Zu, Stephen J. Leybourne
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://nottingham-repository.worktribe.com/output/1036376
weighted least squaresexplosive autoregressiontime-varying volatilityrational bubbleright-tailed unit root testing
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic growth models (91B62)
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UNIT ROOT TEST WITH HIGH-FREQUENCY DATA, Testing for explosive bubbles: a review, Robust testing for explosive behavior with strongly dependent errors, Adaptive estimation of AR(\(\infty\)) models with time-varying variances, Asymptotic Behavior of Delay Times of Bubble Monitoring Tests
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