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Real Time Monitoring of Asset Markets : Bubbles and Crises

Phillips, Peter C. B. - 2018

surveillance, risk management, and policy action. This chapter provides an R implementation of the popular real-time monitoring … market conditions and ballooning credit risk in real time is therefore of prime importance in the complex exercises of market …

Persistent link: https://www.econbiz.de/10012906699

Testing for Multiple Bubbles

Phillips, Peter C. B. - 2013

Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...

Persistent link: https://www.econbiz.de/10013091850

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

Shi, Shuping - 2013

left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification …-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF …

Persistent link: https://www.econbiz.de/10013092751