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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
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Testing explosive bubbles with time-varying volatility
Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
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Asymmetric adjustment and smooth breaks in dividend yields : evidence from international stock markets
Chen, Shyh-Wei; Xie, Zixiong - In: International review of economics & finance : IREF 48 (2017), pp. 339-354
Persistent link: https://www.econbiz.de/10011747311
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A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Quantitative finance 24 (2024) 5, pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
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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
Persistent link: https://www.econbiz.de/10014391459
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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
Persistent link: https://www.econbiz.de/10014304848
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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
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Speculative bubbles in recent oil price dynamics : evidence from a Bayesian Markov-switching state-space approach
Lammerding, Marc; Stephan, Patrick; Trede, Mark; … - In: Energy economics 36 (2013), pp. 491-502
Persistent link: https://www.econbiz.de/10009724652
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Essays on asset prices and macroeconomic fundamentals
Chen, Wenjuan - 2013
Persistent link: https://www.econbiz.de/10010222480
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Multi-fractal Analysis of Volatility for Detection of Herding and Bubble in Skewness Index
Thomas, Becky - 2020
The fractal theory was first proposed by Mandelbrot in the 1970s and later it was carried by Kantelhardt in mid-2000 … understand the volatility by using Hurst exponent. The analysis focuses on finding the average volatility of the time series of … each interval and calculates its volatility functions and determines the Hurst exponents based on the power law of …
Persistent link: https://www.econbiz.de/10012831113