Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major … (2011, PWY) are affected by multiple bubbles and may fail to be consistent. The present paper proposes a generalized version …-stamping strategy for the origination and termination of multiple bubbles, and proves consistency of this dating procedure. Simulations …

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 …

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in … Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble … bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm …

Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major … (2011, PWY) are affected by multiple bubbles and may fail to be consistent. The present paper proposes a generalized version …-stamping strategy for the origination and termination of multiple bubbles, and proves consistency of this dating procedure. Simulations …

and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal …). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have …

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on …

are common among them. Having established the conditions under which common bubbles are present within the class of mixed …

reswitching activities and short-term thinking of bounded rational investors. Negative bubbles (market prices lower than … fundamentals) tend to occur if active portfolio managers exhibit high risk aversion, but are less frequent than positive bubbles …. -- stock; market ; passive; trading ; financial; stability ; arbitrage ; trading ; financial ; bubbles ; Heterogeneous ; Agent …

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con …-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and con …-siders the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …