Testing for explosive bubbles in the presence of non-Gaussian conditions

DOI10.1016/j.econlet.2023.111391OpenAlexW4387374389MaRDI QIDQ6117821

Hao Feng

Publication date: 20 March 2024

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2023.111391

zbMATH Keywords

quantile regressioncommodity futuresexplosive bubblenon-Gaussian conditions

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Quantile unit root inference for panel data with common shocks
• Unit root quantile autoregression testing using covariates
• SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY
• 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
• Unit Root Quantile Autoregression Inference
• Testing for a unit root in a nonlinear quantile autoregression framework

This page was built for publication: Testing for explosive bubbles in the presence of non-Gaussian conditions