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Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Phillips, Peter C. B.; Wu, Yangru; Yu, Jun - Hong Kong Institute for Monetary Research (HKIMR), … - 2007

applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in …

Persistent link: https://www.econbiz.de/10005558132

Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?

Phillips, Peter C. B. - 2013

applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in …

Persistent link: https://www.econbiz.de/10012711238

Explosive Behavior in the 1990s Nasdaq : When did Exuberance Escalate Asset Values?

Phillips, Peter C. B. - 2013

applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in …

Persistent link: https://www.econbiz.de/10013095873

Measuring Change in Tail Behavior

Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C. B. - 2000

This paper explores tests of the hypotheses that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

Persistent link: https://www.econbiz.de/10014152767