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A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
16 references·12 citing·38 second hop
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(2000)The Resurgence of Growth in t…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Time Series Regression with a Unit Root (1987)Time Series Regression with a…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 …THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach (2021)Dynamic efficiency and arbitr…Identification of multiple stock bubbles in an emerging market: application of GSADF approach (2018)Identification of multiple st…Testing for bubbles in the BRICS stock markets (2016)Testing for bubbles in the BR…Asset price bubbles and economic welfare (2016)Asset price bubbles and econo…Speculative trading in the gold market (2015)Speculative trading in the go…Testing for Multiple Bubbles in the BRICS Stock Markets (2014)Testing for Multiple Bubbles …Testing for a break in the persistence in yield spreads of EMU government bonds (2014)Testing for a break in the pe…Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets (2012)Do Bubbles Spill Over? Estima…Modeling and forecasting volatility in global food commodity prices (2011)Modeling and forecasting vola…Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective (2008)Market fundamentals versus ra…Long Memory and the Term Structure of Risk (2008)Long Memory and the Term Stru…Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model (2006)Bubbles in the dividend–price…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? 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A Comparison of Internet and Conventional Retailers (2000)Raising the Speed Limit: U.S. Economic Growth in the Information Age (2000)Skill‐Biased Technological Change and Rising Wage Inequality: Some Problems and Puzzles (2002)The Knowledge Economy (2004)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)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (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
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 2000The Resurgence of Growth in the Late 1990s: Is Information Technology the Story?1,844 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 2001Information Technology and the U.S. Economy1,311 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 1994Efficient Tests of Nonstationary Hypotheses863 cited

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  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • Cited by

    • 2014Testing for a break in the persistence in yield spreads of EMU government bonds71 cited
    • 2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach68 cited
    • 2006Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model52 cited
    • 2011Modeling and forecasting volatility in global food commodity prices47 cited
    • 2015Speculative trading in the gold market41 cited
    • 2016Testing for bubbles in the BRICS stock markets36 cited
    • 2008Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective33 cited
    • 2008Long Memory and the Term Structure of Risk29 cited
    • 2012Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets28 cited
    • 2016Asset price bubbles and economic welfare27 cited
    • 2014Testing for Multiple Bubbles in the BRICS Stock Markets23 cited
    • 2018Identification of multiple stock bubbles in an emerging market: application of GSADF approach22 cited