hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …

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 …

left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification …-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF …