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Bubble Detective : City-Level Analysis of House Price Cycles

Cevik, Serhan; Naik, Sadhna - 2023

major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house …

Persistent link: https://www.econbiz.de/10014257254

On the Asymptotic Behavior of Bubble Date Estimators

Kurozumi, Eiji; Skrobotov, Anton - 2022

In this study, we extend the three-regime bubble model of Pang et al. (2021) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The...

Persistent link: https://www.econbiz.de/10013324346

Limit theory for an explosive autoregressive process

Wang, Xiaohu; Yu, Jun - In: Economics Letters 126 (2015) C, pp. 176-180

Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...

Persistent link: https://www.econbiz.de/10011189545

High and low prices and the range in the European stock markets : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012022262

Are there bubbles in stock prices? : testing for fundamental shocks

Velinov, Anton; Chen, Wenjuan - 2014

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural … tandem with their fundamentals. We therefore find no evidence in favor of stock price bubbles in all the countries invested. …

Persistent link: https://www.econbiz.de/10010349257

Stationary Bubbles

Bidian, Florin - 2014

Empirical tests for bubbles typically focus on the stationarity properties of the dividend yield. Evidence of … nonstationarity in the dividend yield is viewed as proof of bubbles, while stationarity is interpreted as absence of bubbles. For … economies with arbitrary pricing kernels but stationary risk-free rates, I show that there exist bubbles that are strictly …

Persistent link: https://www.econbiz.de/10013059384

On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - 2017

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

Persistent link: https://www.econbiz.de/10011595441

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

Testing for parameter instability in competing modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

Persistent link: https://www.econbiz.de/10010229896

Test procedures for unit roots in time series with level shifts at unknown time

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

Persistent link: https://www.econbiz.de/10009613596