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Rational bubbles and fractional integration
Kruse, Robinson (contributor) - 2008
hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …
Persistent link: https://www.econbiz.de/10003672198
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Another look at cryptocurrency bubbles
Gronwald, Marc - 2019
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012033146
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Bubbles across Meme Stocks and Cryptocurrencies
Aloosh, Arash; Ouzan, Samuel; Hussain Shahzad, Syed Jawad - 2022
This study examines the price explosiveness of stocks whose purchase Robinhood restricted during the GameStop episode. We find that those “meme stocks” comprise multiple periods of explosiveness, indicating that they are unlikely to be an epiphenomenon. We also document evidence of price...
Persistent link: https://www.econbiz.de/10013404321
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Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis
Wu, Jason - 2011
This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliott & Jansson (2003) in the unit root testing case, stationary covariates are used to improve the power of the residual based Augmented Dickey Fuller (ADF) test. The asymptotic...
Persistent link: https://www.econbiz.de/10013127087
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Testing for single bubble episode in the Nigerian stock market : an empirical investigation
Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...
Persistent link: https://www.econbiz.de/10012178349
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Stock Returns Declustering Under Time Dependent Hölder Exponent
Bianchi, Sergio - 2011
Two of the most important stylized facts well-known in finance relate to the non-Gaussian distribution and to the volatility clustering of stock returns. In this paper, we show that a new class of stochastic processes – called Multifractional Processes with Random Exponent (MPRE) – can...
Persistent link: https://www.econbiz.de/10013122333
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Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...
Persistent link: https://www.econbiz.de/10011673153
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …
Persistent link: https://www.econbiz.de/10011674010