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Dating the Timeline of Financial Bubbles During the Subprime Crisis
Phillips, Peter C.B.; Yu, Jun - School of Economics, Singapore Management University - 2009
A recursive regression methodology is used to analyze the bubble characteristics of various fi- nancial time series during the subprime crisis. The methods provide a technology for identifying bubble behavior and consistent dating of their origination and collapse. Seven relevant financial...
Persistent link: https://www.econbiz.de/10010862040
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Dating the Timeline of Financial Bubbles During the Subprime Crisis
Phillips, Peter C. B.; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2009
A recursive regression methodology is used to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods provide a technology for identifying bubble behavior and consistent dating of their origination and collapse. Seven relevant financial series...
Persistent link: https://www.econbiz.de/10009363843
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Dating the Timeline of Financial Bubbles during the Subprime Crisis
Phillips, Peter C. B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2010
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent...
Persistent link: https://www.econbiz.de/10008548960
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Dating the timeline of financial bubbles during the subprime crisis
Phillips, Peter C. B.; Yu, Jun - In: Quantitative economics : QE ; journal of the … 2 (2011) 3, pp. 455-491
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent...
Persistent link: https://www.econbiz.de/10011756399
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Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
Phillips, Peter C.B.; Yu, Jun - School of Economics, Singapore Management University
Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse...
Persistent link: https://www.econbiz.de/10010862043
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Rtadf: Testing for Bubbles with EViews
Caspi, Itamar - Volkswirtschaftliche Fakultät, … - 2013
This paper presents Rtadf (Right Tail Augmented Dickey-Fuller), an EViews Add-in that facilitates the performance of time series based tests that help detect and date-stamp asset price bubbles. Detection strategy is based on a right-tail variation of the standard Augmented Dickey-Fuller (ADF)...
Persistent link: https://www.econbiz.de/10011112946
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Market Bubbles and Chrashes
Kaizoji, Taisei; Sornette, Didier - Volkswirtschaftliche Fakultät, … - 2008
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy … effects. This review and essay evaluates some of the hypotheses offered to explain the market crashes that often follow asset … price bubbles. Starting from historical accounts and syntheses of past bubbles and crashes, we put the problem in …
Persistent link: https://www.econbiz.de/10004976970
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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Phillips, Peter C. B.; Shi, Shu-Ping; Yu, Jun - School of Economics, Singapore Management University - 2012
Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to...
Persistent link: https://www.econbiz.de/10010539799
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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2012
Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to...
Persistent link: https://www.econbiz.de/10009391709
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Speci…fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
Shi, Shu-Ping; Phillips, Peter C.B.; Yu, Jun - School of Economics, Singapore Management University - 2011
Right-tailed unit root tests have proved promising for detecting exuberance in economic and …financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specifi…cation used in parameter estimation. This paper aims to...
Persistent link: https://www.econbiz.de/10009274319