and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal …). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have …

are common among them. Having established the conditions under which common bubbles are present within the class of mixed …

reswitching activities and short-term thinking of bounded rational investors. Negative bubbles (market prices lower than … fundamentals) tend to occur if active portfolio managers exhibit high risk aversion, but are less frequent than positive bubbles …. -- stock; market ; passive; trading ; financial; stability ; arbitrage ; trading ; financial ; bubbles ; Heterogeneous ; Agent …

This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional … consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator … also signals most of the 'negative bubbles' before their turning points …

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally … asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger … bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced …

the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …

the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …

This review discusses methods of testing for explosive bubbles in a time series. A large number of recently developed …