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Rational bubbles and fractional integration
Kruse, Robinson (contributor) - 2008
hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …
Persistent link: https://www.econbiz.de/10003672198
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Rational bubbles and fractional integration
Kruse, Robinson - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2008
In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...
Persistent link: https://www.econbiz.de/10005464689
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Another look at cryptocurrency bubbles
Gronwald, Marc - 2019
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012033146
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013
This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...
Persistent link: https://www.econbiz.de/10010239739
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Testing for a rational bubble under long memory
FRÖMMEL, M.; KRUSE, R. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2011
and rational bubbles. We find an increase in the long memory parameter in the early 1990s by applying a recently proposed …
Persistent link: https://www.econbiz.de/10009392924
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Bubbles across Meme Stocks and Cryptocurrencies
Aloosh, Arash; Ouzan, Samuel; Hussain Shahzad, Syed Jawad - 2022
This study examines the price explosiveness of stocks whose purchase Robinhood restricted during the GameStop episode. We find that those “meme stocks” comprise multiple periods of explosiveness, indicating that they are unlikely to be an epiphenomenon. We also document evidence of price...
Persistent link: https://www.econbiz.de/10013404321
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Multiple Changes in Persistence vs. Explosive Behaviour : The Dotcom Bubble
de Medeiros, Otavio Ribeiro - 2012
Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...
Persistent link: https://www.econbiz.de/10013108019
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A simple test on structural change in long-memory time series
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017
We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...
Persistent link: https://www.econbiz.de/10011655296
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Fixed-bandwidth CUSUM tests under long memory
Leschinski, Christian; Wenger, Kai - 2018
We propose a family of self-normalized CUSUM tests for structural change under long memory. The test statistics apply non-parametric kernel-based fixed-b and fixed-m long-run variance estimators and have well-defined limiting distributions that only depend on the long-memory parameter. A Monte...
Persistent link: https://www.econbiz.de/10011957769
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Another Look at Cryptocurrency Bubbles
Gronwald, Marc - 2019
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012052849