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Real‐Time Monitoring for Explosive Financial Bubbles
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Real‐Time Monitoring for Explosive Financial Bubbles (2018)Real‐Time Monitoring for Explosive Financ…Tests for an end-of-sample bubble in financial time series (2017)Tests for an end-of-sample bu…Improving the accuracy of asset price bubble start and end date estimators (2016)Improving the accuracy of ass…Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)Tests for explosive financial…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Testing for Speculative Bubbl…EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility (2007)Time‐Transformed Unit Root Te…Tests for Cointegration Breakdown Over a Short Time Period (2006)Tests for Cointegration Break…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility (2021)CUSUM-Based Monitoring for Ex…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)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The role of market fundamentals and speculation in recent price changes for crude oil (2010)Measuring the dynamics of global business cycle connectedness (2015)On detecting end-of-sample instabilities (2015)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)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Efficient Tests for an Autoregressive Unit Root (1996)HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT (2009)Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean (2012)Unit Root Testing with Unstable Volatility (2017)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Sample Splitting and Threshold Estimation (2000)FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION (2017)Real Time Monitoring of Asset Markets: Bubbles and Crises (2018)Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility (2018)The Econometrics of Financial Markets (1997)Dating the timeline of financial bubbles during the subprime crisis (2011)Bubbles and Crashes (2003)Testing explosive bubbles with time-varying volatility (2018)Date-stamping multiple bubble regimes (2020)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)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis (2017)exuber: Recursive Right-Tailed Unit Root Testing with R (2020)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 2011Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods455 cited
  • 2015Tests for explosive financial bubbles in the presence of non-stationary volatility175 cited
  • 2006Tests for Cointegration Breakdown Over a Short Time Period76 cited
  • 2007Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility61 cited
  • 2016Improving the accuracy of asset price bubble start and end date estimators43 cited
  • 2017Tests for an end-of-sample bubble in financial time series33 cited

Cited by

  • 2021CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility27 cited

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