Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …

The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the … LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs … efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence …

Firstly, we use the Multi-Scale LPPLS Confidence Indicator approach to detectboth positive and negative bubbles at … that, our bubbles indicators,particularly when both positive and negative bubbles are considered simultaneously …

We examine the predictive power of market-based indicators over the positive and negative stock market bubbles via an … successfully capture, ex-ante, some of the prominent bubbles across different time scales, such as the Black Monday, Dot-com, and … bubbles across both short and long time horizons, in line with the previous studies suggesting that short sellers have …

Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …