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A simple procedure for detecting periodically collapsing rational bubbles
10 references·3 citing·41 second hop
A simple procedure for detecting periodically collapsing rational bubbles (2001)A simple procedure for detecting periodic…Rational Expectations and Inflation (2017)Rational Expectations and Inf…Detecting periodically collapsing bubbles: a Markov-switching unit root test (1999)Detecting periodically collap…Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? (1998)Avoiding the Pitfalls: Can Re…An introduction to stochastic unit-root processes (1997)An introduction to stochastic…Regime switching as a test for exchange rate bubbles (1996)Regime switching as a test fo…Can Economic Time Series Be Differenced to Stationarity? (1996)Can Economic Time Series Be D…Rational bubbles during Poland's hyperinflation: Implications and empirical evidence (1994)Rational bubbles during Polan…The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange (1993)The Predictability of Stock M…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…Random autoregressive models: A structured overview (2022)Random autoregressive models:…Identifying Speculative Bubbles Using an Infinite Hidden Markov Model (2014)Identifying Speculative Bubbl…Optimal Test for Markov Switching (2004)Optimal Test for Markov Switc…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)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)Time Series Analysis: Forecasting and Control (1977)Comparing Predictive Accuracy (1994)Varieties of long memory models (1996)Stochastic Permanent Breaks (1999)Modelling Nonlinear Economic Time Series (2010)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Speculative bubbles in agricultural prices (2014)The gold price in times of crisis (2014)When Will Occur the Crude Oil Bubbles? (2016)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Noise Trader Risk in Financial Markets (1990)Testing for Multiple Bubbles (2012)Bubbles in food commodity markets: Four decades of evidence (2013)Trends and random walks in macroeconmic time series (1982)Trends and random walks in macroeconomic time series (1988)Forecasting, Structural Time Series Models and the Kalman Filter (1990)On Markov error‐correction models, with an application to stock prices and dividends (2004)Testing Joint Hypotheses When One of the Alternatives is One-Sided (2006)Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests (2008)Testing for a Unit Root in Time Series Regression (1988)From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks (2013)Explosive Bubbles in House Prices? Evidence from the OECD Countries (2015)Empirical exchange rate models of the seventies (1983)Critical market crashes (2003)Monetary factors in the great depression (1987)Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level (2001)Inflation Forecast Uncertainty (2003)A Three‐Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index (2005)Nonlinearity in the stock price–dividend relation (2005)Price Explosiveness, Speculation, and Grain Futures Prices (2014)
this work references cited by second hop

References

  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 2017Rational Expectations and Inflation415 cited
  • 1999Detecting periodically collapsing bubbles: a Markov-switching unit root test251 cited
  • 1997An introduction to stochastic unit-root processes211 cited
  • 1996Regime switching as a test for exchange rate bubbles143 cited
  • 1996Can Economic Time Series Be Differenced to Stationarity?129 cited
  • 1993The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange98 cited
  • 1998Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?85 cited
  • 1994Rational bubbles during Poland's hyperinflation: Implications and empirical evidence64 cited

Cited by

  • 2004Optimal Test for Markov Switching42 cited
  • 2022Random autoregressive models: A structured overview39 cited
  • 2014Identifying Speculative Bubbles Using an Infinite Hidden Markov Model36 cited

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