This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles …, Cointegration methods were used to detect asset price bubbles. Unfortunately, if there are collapsing bubbles, Cointegration … techniques cannot identify multiple bubbles. To overcome this Phillips, Shi and Yu (2015) developed a right tailed Augmented …

This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles …, Cointegration methods were used to detect asset price bubbles. Unfortunately, if there are collapsing bubbles, Cointegration … techniques cannot identify multiple bubbles. To overcome this Phillips, Shi and Yu (2015) developed a right tailed Augmented …

We present a new approach to identifying asset price bubbles based on options data. Given their forward-looking nature … are key to understanding price bubbles. By exploiting the di˙erential pricing between put and call options, we can detect … and quantify bubbles in the prices of underlying asset. We apply our methodology to two stock market indexes, the S&P 500 …

Asset price bubbles have fascinated economists for decades. In consequence, the literature on bubbles and their … rational bubbles. We focus in particular on recently developed bubble detection methods, namely recursive unit root tests … prices. As a result, they avoid testing a joint hypothesis of the presence of rational bubbles and the validity of the model …

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

We provide heterogenous agent foundations for regime-switching tests of asset price bubbles, and illustrate by applying …

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

is as great as when training is absent. -- asset market experiment ; price bubbles ; common knowledge of rationality …