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A Specification Test for Speculative Bubbles
West, Kenneth D. - 1986
estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When … the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The …
Persistent link: https://www.econbiz.de/10012477002
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A Specification Test for Speculative Bubbles
West, Kenneth D. - 2010
estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When … the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The …
Persistent link: https://www.econbiz.de/10012763029
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Speculative bubble tendencies in time series of Bitcoin market prices
Demmler, Michael; Fernández Domínguez, Amilcar O. - In: Cuadernos de economía 41 (2022) 86, pp. 159-183
Persistent link: https://www.econbiz.de/10014541846
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Testing for multiple bubbles in bitcoin markets : a generalized sup ADF test
Su, Chi-Wei; Li, Zheng-Zheng; Tao, Ran; Si, Dengkui - In: Japan and the world economy : international journal of … 46 (2018), pp. 56-63
Persistent link: https://www.econbiz.de/10012102402
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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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A specification test for speculative bubbles
West, Kenneth D. - In: The quarterly journal of economics 102 (1987) 3, pp. 553-580
Persistent link: https://www.econbiz.de/10001048903
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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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Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective
Marczak, Martyna; Beissinger, Thomas - 2015
This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...
Persistent link: https://www.econbiz.de/10011325814
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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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Modelling of speculative bubbles and forecasting of market crashes
Gerlach, Jan-Christian - 2021
Persistent link: https://www.econbiz.de/10012510251