Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500
Year of publication: |
2013-09
|
---|---|
Authors: | Phillips, Peter C.B. ; Shi, Shu-Ping ; Yu, Jun |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Date-stamping strategy | Flexible window | Generalized sup ADF test | Multiple bubbles | Rational bubble | Periodically collapsing bubbles | Sup ADF test |
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Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
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