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Common Bubble Detection in Large Dimensional Financial Systems
16 references·0 citing·37 second hop
Common Bubble Detection in Large Dimensional Financial Systems (2019)Common Bubble Detection in Large Dimensio…Demystifying the Chinese Housing Boom (2016)Demystifying the Chinese Hous…Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Testing for multiple bubbles:…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…Handbook of the Economics of Finance (2013)Handbook of the Economics of …EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Estimation and Inference in L…Limit theory for moderate deviations from a unit root (2005)Limit theory for moderate dev…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2004)Estimation and Inference in L…Estimating cross-section common stochastic trends in nonstationary panel data (2004)Estimating cross-section comm…Inferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Speculative bubbles, crashes and rational expectations (1979)Speculative bubbles, crashes …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)Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)New Indexes of Coincident and Leading Economic Indicators (1989)Transition Modeling and Econometric Convergence Tests (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Estimating long-run relationships from dynamic heterogeneous panels (1995)Macroeconomic Forecasting Using Diffusion Indexes (2002)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Testing slope homogeneity in large panels (2007)General diagnostic tests for cross-sectional dependence in panels (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)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)
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References

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  • 2005Limit theory for moderate deviations from a unit root454 cited
  • 2016Demystifying the Chinese Housing Boom

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375 cited
  • 2004Estimating cross-section common stochastic trends in nonstationary panel data299 cited
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