Kwong, Raymond; Wong, Helen - In: Journal of applied economics 25 (2022) 1, pp. 361-384
only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of … Phillips (2015) to date-stamp the origination and termination of the asset price bubbles. Our method relaxed the minimum bubble … asset price bubbles. These results prove the criticism that all the VaR models fail during crises as invalid. …