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Improving the accuracy of asset price bubble start and end date estimators
16 references·6 citing·41 second hop
Improving the accuracy of asset price bubble start and end date estimators (2016)Improving the accuracy of asset price bub…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…The Federal Reserve and the Financial Crisis (2013)The Federal Reserve and the F…WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE (2012)WALD TESTS FOR DETECTING MULT…Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Testing for Speculative Bubbl…Dating the timeline of financial bubbles during the subprime crisis (2011)Dating the timeline of financ…EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…The age of turbulence: adventures in a new world (2008)The age of turbulence: advent…Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model (2006)Bubbles in the dividend–price…Bubbles and Crashes (2003)Bubbles and CrashesDetecting periodically collapsing bubbles: a Markov-switching unit root test (1999)Detecting periodically collap…Multidimensional Uncertainty and Herd Behavior in Financial Markets (1998)Multidimensional Uncertainty …Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? (1998)Avoiding the Pitfalls: Can Re…The Macroeconomics of the Great Depression: A Comparative Approach (1994)The Macroeconomics of the Gre…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Intrinsic Bubbles: The Case of Stock Prices (1989)Intrinsic Bubbles: The Case o…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Date-stamping multiple bubble regimes (2020)Date-stamping multiple bubble…Testing explosive bubbles with time-varying volatility (2018)Testing explosive bubbles wit…Real‐Time Monitoring for Explosive Financial Bubbles (2018)Real‐Time Monitoring for Expl…Explosive Asset Price Bubble Detection with Unknown Bubble Length and Initial Condition (2018)Explosive Asset Price Bubble …Tests for an end-of-sample bubble in financial time series (2017)Tests for an end-of-sample bu…STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS (2017)STRUCTURAL CHANGE IN NONSTATI…On the Impossibility of Informationally Efficient Markets (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Simple Model of Herd Behavior (1992)Does herding behavior exist in Chinese stock markets? (2005)Information Uncertainty and Expected Returns (2005)Manipulation and the Allocational Role of Prices (2008)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)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)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The Econometrics of Financial Markets (2012)Bubbles in food commodity markets: Four decades of evidence (2013)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)Testing for a Unit Root in Time Series Regression (1988)The Econometrics of Financial Markets (1997)Time Series Regression with a Unit Root (1987)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Index Funds, Financialization, and Commodity Futures Markets (2011)Negative bubbles and shocks in cryptocurrency markets (2016)The Debt-Deflation Theory of Great Depressions (1933)Bank Runs, Deposit Insurance, and Liquidity (1983)Credit Cycles (1997)The Golden Age of European growth reconsidered (2002)Sudden Stops and Phoenix Miracles in Emerging Markets (2006)On DSGE Models (2018)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Corn Cash Price Forecasting (2020)The General Theory of Employment, Interest and Money. (1936)Information, trade and common knowledge (1982)Global Games and Equilibrium Selection (1993)Hedge Funds and the Technology Bubble (2004)Global Health and the Global Economic Crisis (2011)Plutocrats: The Rise of the New Global Super-Rich and the Fall of Everyone Else (2012)Governing Turbulence: An Organizational- Institutional Agenda (2017)
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References

  • 2003Bubbles and Crashes1,246 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,123 cited
  • 1998Multidimensional Uncertainty and Herd Behavior in Financial Markets748 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 2011Dating the timeline of financial bubbles during the subprime crisis586 cited
  • 2008The age of turbulence: adventures in a new world546 cited
  • 2011Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods455 cited
  • 1994The Macroeconomics of the Great Depression: A Comparative Approach413 cited
  • 1989Intrinsic Bubbles: The Case of Stock Prices388 cited
  • 2013The Federal Reserve and the Financial Crisis276 cited
  • 1999Detecting periodically collapsing bubbles: a Markov-switching unit root test251 cited
  • 1998Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?85 cited
  • 2012WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE

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52 cited
  • 2006Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model52 cited
  • Cited by

    • 2017Tests for an end-of-sample bubble in financial time series33 cited
    • 2018Testing explosive bubbles with time-varying volatility32 cited
    • 2018Real‐Time Monitoring for Explosive Financial Bubbles30 cited
    • 2020Date-stamping multiple bubble regimes20 cited
    • 2018Explosive Asset Price Bubble Detection with Unknown Bubble Length and Initial Condition18 cited
    • 2017STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS15 cited