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 …

annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes. One …

temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …

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 …

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 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 …

We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation … of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of … series because they assume that crashes occur in a single large negative jump, which is counterfactual. The model estimation …