A simple procedure for detecting periodically collapsing rational bubbles

DOI10.1016/S0165-1765(01)00456-6MaRDI QIDQ5941401zbMATH OpenFDO

Authors Zacharias Psaradakis, Martin Sola, Fabio Spagnolo

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(01)00456-6

zbMATH Keywords

rational bubblesstochastic unit roottime-varying coefficients

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Testing a time series for difference stationarity

Cited in

(4)

• Periodically collapsing stock price bubbles: A robust test
• Periodically collapsing Evans bubbles and stock-price volatility
• Random autoregressive models: a structured overview
• A stochastic tree for bubble asset modelling and pricing

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