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Unit root testing for bubbles: A resurrection?
8 references·2 citing·34 second hop
Unit root testing for bubbles: A resurrection? (2008)Unit root testing for bubbles: A resurrec…Have Equity REITs Experienced Periodically Collapsing Bubbles? (2007)Have Equity REITs Experienced…An evolutionary game theory explanation of ARCH effects (2006)An evolutionary game theory e…Periodically collapsing bubbles in the US stock market? (2002)Periodically collapsing bubbl…Periodically collapsing stock price bubbles: a robust test (1998)Periodically collapsing stock…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…On the Theory of Testing for Unit Roots in Observed Time Series (1986)On the Theory of Testing for …Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Equity price bubbles in the Middle Eastern and North African Financial markets (2009)Equity price bubbles in the M…REIT markets and rational speculative bubbles: an empirical investigation (2007)REIT markets and rational spe…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Cointegration and Tests of Present Value Models (1987)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Ants, Rationality, and Recruitment (1993)Efficient market hypothesis and forecasting (2003)Dating the timeline of financial bubbles during the subprime crisis (2011)Testing for a Unit Root in Time Series Regression (1988)The pricing behaviour of Australian banks and building societies in the residential mortgage market (2013)American Economic Review (2019)The General Theory of Employment, Interest and Money. (1936)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Removing systematic patterns in returns in a financial market model by artificially intelligent traders (2011)From standard to evolutionary finance: a literature survey (2018)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)Common risk factors in the returns on stocks and bonds (1993)Speculative bubbles in agricultural prices (2014)Interpreting the movement of oil prices: Driven by fundamentals or bubbles? (2016)Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach (2021)Statistical analysis of cointegration vectors (1988)Noise Trader Risk in Financial Markets (1990)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES (2017)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for Multiple Bubbles in the BRICS Stock Markets (2014)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
this work references cited by second hop

References

  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 1986On the Theory of Testing for Unit Roots in Observed Time Series612 cited
  • 1998Periodically collapsing stock price bubbles: a robust test98 cited
  • 2002Periodically collapsing bubbles in the US stock market?82 cited
  • 2007Have Equity REITs Experienced Periodically Collapsing Bubbles?56 cited
  • 2006An evolutionary game theory explanation of ARCH effects32 cited

Cited by

  • 2007REIT markets and rational speculative bubbles: an empirical investigation30 cited
  • 2009Equity price bubbles in the Middle Eastern and North African Financial markets23 cited

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