This paper considers the problem of testing for an explosive bubble in …nancial data in the presence of time-varying volatility. We propose a sign-based variant of the Phillips, Shi and Yu (2015) test. Unlike the original test, the sign-based test does not require bootstrap-type methods to control size in the presence of time-varying volatility. Under a locally explosive alternative, the sign-based test delivers higher power than the original test for many time-varying volatility and bubble speci…cations. However, since the original test can still outperform the sign-based one for some speci…cations, we also propose a union of rejections procedure that combines the original and sign-based tests, employing a wild bootstrap to control size. T...
A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presenc...
The first chapter of this thesis, discusses the characteristics of an asset bubble episode outlining...
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, da...
This paper considers the problem of testing for an explosive bubble in financial data in the presenc...
This paper studies the impact of permanent volatility shifts in the innovation process on the perfor...
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme ...
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme ...
In this paper, we examine the issue of detecting explosive behavior in economic and financial time s...
In this article, we compare the local asymptotic and finite sample power of two recently proposed re...
We propose new methods for the real-time detection of explosive bubbles in financial time series. Mo...
This article proposes a test to determine if two price series that each contain an explosive autoreg...
We propose new methods for the real-time detection of explosive bubbles in financial time series. Mo...
Recent developments on the right-tailed unit root tests of Phillips et al., which are used to date s...
Exuberant behaviors (bubbles) in economic and financial activities have long been a concern in the l...
Evans (1991) and Charemza and Deadman (1995) present models of bubbles that are not empirically dete...
A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presenc...
The first chapter of this thesis, discusses the characteristics of an asset bubble episode outlining...
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, da...
This paper considers the problem of testing for an explosive bubble in financial data in the presenc...
This paper studies the impact of permanent volatility shifts in the innovation process on the perfor...
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme ...
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme ...
In this paper, we examine the issue of detecting explosive behavior in economic and financial time s...
In this article, we compare the local asymptotic and finite sample power of two recently proposed re...
We propose new methods for the real-time detection of explosive bubbles in financial time series. Mo...
This article proposes a test to determine if two price series that each contain an explosive autoreg...
We propose new methods for the real-time detection of explosive bubbles in financial time series. Mo...
Recent developments on the right-tailed unit root tests of Phillips et al., which are used to date s...
Exuberant behaviors (bubbles) in economic and financial activities have long been a concern in the l...
Evans (1991) and Charemza and Deadman (1995) present models of bubbles that are not empirically dete...
A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presenc...
The first chapter of this thesis, discusses the characteristics of an asset bubble episode outlining...
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, da...