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Tests for explosive financial bubbles in the presence of non-stationary volatility

Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574

Persistent link: https://www.econbiz.de/10011663370

Testing explosive bubbles with time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151

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Time-transformed test for bubbles under non-stationary volatility

Kurozumi, Eiji; Skrobotov, Anton; Tsarev, Alexey - In: Journal of financial econometrics 21 (2023) 4, pp. 1282-1307

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Testing explosive bubbles with time-varying volatility : the case of Spanish public debt

Esteve García, Vicente; Prats Albentosa, María Asuncíon - In: Finance research letters 51 (2023), pp. 1-7

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Testing explosive bubbles with time-varying volatility : the case of the Spanish public debt, 1850-2021

Esteve García, Vicente; Prats Albentosa, María Asuncíon - 2022

procedures to test for explosive bubbles under the presence of time-varying volatility (Harvey, Leybourne, Sollis and Taylor … unconditional volatility in the underlying error process was assumed. …

Persistent link: https://www.econbiz.de/10015069806

Modeling stock market return volatility : GARCH evidence from Nifty Realty Index

Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169

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The impact of macroeconomic factors on the US Stock Exchange

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The long memory dynamics of the market quotations of selected Stock Companies and Warsaw Stock Index

Łuczyński, Wiesław - In: The Poznań University of Economics review 7 (2007) 1, pp. 21-55

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Impact of the FII's Indian equity investment behavior on the BRIC countries' stock market volatility during the Subprime Crisis : an empirical investigation

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Threshold models in time series analysis : some reflections

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