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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

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

Bayesian analysis of bubbles in asset prices

Fulop, Andras; Yu, Jun - In: Econometrics : open access journal 5 (2017) 4, pp. 1-23

properties for detecting bubbles. Empirical analysis using price-dividend ratios of S&P500 highlights the advantages of our …

Persistent link: https://www.econbiz.de/10011781855

Stationary threshold vector autoregressive models

Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

Persistent link: https://www.econbiz.de/10011895647

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

Examining rational bubbles in global natural gas prices : evidence from frequency domain estimates

Lawal, Adedoyin Isola; Oseni, Ezekiel; Lawal-Adedoyin, … - In: Energy strategy reviews 44 (2022), pp. 1-7

various economic agents. This study examined whether rational bubbles existed in the three major natural gas markets by …

Persistent link: https://www.econbiz.de/10014514550

Explosive behavior and rational bubbles : evidence from the Serbian hyperinflation at daily frequency

Petrović, Pavle; Mladenović, Zorica - In: Panoeconomicus 69 (2022) 3, pp. 481-492

Persistent link: https://www.econbiz.de/10013352824

The Price-Rent Ratio : Bubble Indicator? Stationary? An Investigation Allowing for Fractional Integration

Miles, William; Zhu, Xiaoyang - 2023

, there are theoretical reasons to believe that the price-rent ratio is a poor signal for bubbles. It may be that the ratio is … is not a reliable indicator of bubbles …

Persistent link: https://www.econbiz.de/10014350319

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

Using covariates to improve the efficacy of univariate bubble detection methods

Astill, Sam; Taylor, Robert; Kellard, Neil; Korkos, Ioannis - In: Journal of empirical finance 70 (2023), pp. 342-366

Persistent link: https://www.econbiz.de/10014423733