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Limit theory for an explosive autoregressive process

Wang, XiaoHu; Yu, Jun - In: Economics letters 126 (2015), pp. 176-180

Persistent link: https://www.econbiz.de/10011377248

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

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

Immobilienzyklen und spekulative Blasen

Rottke, Nico - 2012

Persistent link: https://www.econbiz.de/10009618481

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

Persistent link: https://www.econbiz.de/10009412953

Least squares estimation in a simple random coefficient autoregressive model

Johansen, Søren; Lange, Theis - In: Journal of econometrics 177 (2013) 2, pp. 285-288

Persistent link: https://www.econbiz.de/10010255147

Detecting imbalances in house prices : what goes up must come down?

Anundsen, André Kallåk - 2016

Persistent link: https://www.econbiz.de/10011526030

The time-series linkages between US fiscal policy and asset prices

El Montasser, Ghassen; Gupta, Rangan; Jooste, Charl; … - 2016

Persistent link: https://www.econbiz.de/10011547643

Identification and critical time forecasting of real estate bubbles in the USA and Switzerland

Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014

We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two … that the model is able to forecast the end of the bubbles and to identify variables highly relevant during the bubble …

Persistent link: https://www.econbiz.de/10010411858

Was there a US house price bubble? : an econometric analysis using national and regional panel data

Clark, Steven P.; Coggin, T. Daniel - In: The quarterly review of economics and finance : journal … 51 (2011) 2, pp. 189-200

Persistent link: https://www.econbiz.de/10009270140