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Common Bubble Detection in Large Dimensional Financial Systems · Study

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ArticleCommon Bubble Detection in Large Dimensional Financial Systems

Ye Chen2019

OA

Articlegreen2019

Common Bubble Detection in Large Dimensional Financial Systems

Ye Chen · Peter C.B. Phillips · Shuping Shi

22 citations·0/0 files stored·Journal of Financial Econometrics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Economic theories and models

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References

1988Testing for a Unit Root in Time Series Regression 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure 2002Determining the Number of Factors in Approximate Factor Models 1987Time Series Regression with a Unit Root 2013Handbook of the Economics of Finance 2003Inferential Theory for Factor Models of Large Dimensions 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

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Year2019

Typearticle

Published2019-01-01

VenueJournal of Financial Econometrics

ISSN-L1479-8409

Languageen

Citations22

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1093/jjfinec/nbab027

openalex_workW3048674328

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