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RATIONAL BUBBLES IN THE STOCK MARKET: ACCOUNTING FOR THE U.S. STOCK‐PRICE VOLATILITY
16 references·13 citing·37 second hop
RATIONAL BUBBLES IN THE STOCK MARKET: ACCOUNTING FOR THE U.S. STOCK‐PRICE VOLATILITY (1997)RATIONAL BUBBLES IN THE STOCK MARKET: ACC…Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Asset Bubbles and Overlapping Generations (1985)Asset Bubbles and Overlapping…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…On the Possibility of Speculation under Rational Expectations (1982)On the Possibility of Specula…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The bitcoin: a sparkling bubble or price discovery? (2019)The bitcoin: a sparkling bubb…Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles (2018)Can we use volatility to diag…Identifying price bubble periods in the energy sector (2017)Identifying price bubble peri…Asset pricing with financial bubble risk (2015)Asset pricing with financial …Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach (2012)Speculative bubbles in recent…Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets (2012)Do Bubbles Spill Over? Estima…The Log-Linear Return Approximation, Bubbles, and Predictability (2011)The Log-Linear Return Approxi…The Financial Crisis and the Stock Markets of the CEE Countries (2011)The Financial Crisis and the …Cash Flow Volatility, Prices and Price Volatility: An Experimental Study (2011)Cash Flow Volatility, Prices …Identification of speculative bubbles using state-space models with Markov-switching (2010)Identification of speculative…Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective (2008)Market fundamentals versus ra…Are there speculative bubbles in stock markets? Evidence from an alternative approach. (2008)Are there speculative bubbles…Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange (2000)Regulatory lessons for emergi…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Noise (1986)Predicting returns in the stock and bond markets (1986)Good Day Sunshine: Stock Returns and the Weather (2003)Expected Stock Returns and Variance Risk Premia (2009)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Does the Stock Market Overreact? (1985)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Testing for unit roots in heterogeneous panels (2003)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Presidential Address: Discount Rates (2011)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 1982On the Possibility of Speculation under Rational Expectations959 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
  • 1985Asset Bubbles and Overlapping Generations853 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited

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  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • Cited by

    • 2012Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach96 cited
    • 2011The Log-Linear Return Approximation, Bubbles, and Predictability81 cited
    • 2000Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange75 cited
    • 2010Identification of speculative bubbles using state-space models with Markov-switching71 cited
    • 2017Identifying price bubble periods in the energy sector71 cited
    • 2018Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles53 cited
    • 2015Asset pricing with financial bubble risk45 cited
    • 2008Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective33 cited
    • 2008Are there speculative bubbles in stock markets? Evidence from an alternative approach.30 cited
    • 2012Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets28 cited
    • 2011The Financial Crisis and the Stock Markets of the CEE Countries27 cited
    • 2011Cash Flow Volatility, Prices and Price Volatility: An Experimental Study23 cited
    • 2019The bitcoin: a sparkling bubble or price discovery?23 cited