Monschang, Verena; Wilfling, Bernd - In: Empirical Economics 61 (2020) 1, pp. 145-172
In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests for detecting and date-stamping financial bubbles. Our Monte Carlo simulations find that the majority of the sup-ADF-style...
