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

DOI10.1080/07474938.2017.1307490OpenAlexW2539899255MaRDI QIDQ5864642

Sam Astill, David I. Harvey, A. M. Robert Taylor, Stephen J. Leybourne

Publication date: 8 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/17807/1/bubblesrevision_new_v2.pdf

zbMATH Keywords

explosive autoregressionrational bubbleright-tailed unit root testing: sub-sampling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ Testing for explosive bubbles: a review ⋮ CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION ⋮ Asymptotic properties of bubble monitoring tests ⋮ A two-step machine learning approach to predict S&P 500 bubbles ⋮ Econometric Reviews honors Esfandiar Maasoumi

Cites Work

• End-of-Sample Instability Tests
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500