Tests for explosive financial bubbles in the presence of non-stationary volatility
Year of publication: |
September 2016
|
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Authors: | Harvey, David I. ; Leybourne, Stephen James ; Sollis, Robert ; Taylor, Robert |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 548-574
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Subject: | Rational bubble | Explosive autoregression | Non-stationary volatility | Right-tailed unit root testing | Theorie | Theory | Spekulationsblase | Bubbles | Volatilität | Volatility | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process |
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