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On testing for bubbles during hyperinflations
Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37
Persistent link: https://www.econbiz.de/10014506885
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural … means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the … UK and the US we find that the restriction is rejected for Italy, supported at the 1% level for Japan and supported at …
Persistent link: https://www.econbiz.de/10010349257
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Inference for stochastic bubble trend in stock price under the error correction model
Kim, Yun-yeong - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 384-406
Persistent link: https://www.econbiz.de/10010408042
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Rational bubbles in the stock market : accounting for the US stock-price volatility
Wu, Yangru - In: Economic inquiry : journal of the Western Economic … 35 (1997) 2, pp. 309-319
Persistent link: https://www.econbiz.de/10001221156
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Asymmetric adjustment, non-linearity and housing price bubbles : New international evidence
Xie, Zixiong; Chen, Shyh-Wei; Wu, An-Chi - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-33
Persistent link: https://www.econbiz.de/10012203800
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Detecting speculative bubbles under considerations of the sign asymmetry and size non-linearity : new international evidence
Chen, Shyh-Wei; Xie, Zixiong - In: International review of economics & finance : IREF 52 (2017), pp. 188-209
Persistent link: https://www.econbiz.de/10011791338
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Tests for an end-of-sample bubble in financial time series
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Econometric reviews 36 (2017) 6/9, pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
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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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Testing factor models when asset bubbles occur : a time-varying perspective
Yu, Lu; Li, Yanglin - In: Economic modelling 124 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014463291
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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