Financial bubble implosion and reverse regression
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Cites work
- Bubbles and Crashes
- Dating the timeline of financial bubbles during the subprime crisis
- Financial crises and interacting heterogeneous agents
- Limit theory for moderate deviations from a unit root
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Testing for a unit root in time series regression
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Testing for multiple bubbles: limit theory of real-time detectors
- Time Series Regression with a Unit Root
- Unit root and cointegrating limit theory when initialization is in the infinite past
Cited in
(37)- A simple test for a bubble based on growth and acceleration
- Random coefficient continuous systems: testing for extreme sample path behavior
- Do 18th century `bubbles' survive the scrutiny of 21st century time series econometrics?
- A time-varying parameter model for local explosions
- Inference on a structural break in trend with mildly integrated errors
- Estimating multiple breaks in nonstationary autoregressive models
- Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
- Dating the timeline of financial bubbles during the subprime crisis
- Real time monitoring of asset markets: bubbles and crises
- Real-time monitoring for explosive financial bubbles
- Asymptotic behavior of delay times of bubble monitoring tests
- Unit root test with high-frequency data
- Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
- Limit theory for moderate deviations from a unit root with a break in variance
- Non identification of structural change in non stationary AR(1) models
- Asymptotic theory for a stochastic unit root model
- Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
- Bubble detection and sector trading in real time
- Inferring fundamental value and crash nonlinearity from bubble calibration
- Asymptotic properties of bubble monitoring tests
- In-fill asymptotic theory for structural break point in autoregressions
- BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
- Bubble economics
- Why topological data analysis detects financial bubbles?
- Testing for explosive bubbles: a review
- Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
- Realized drift
- The maximally selected likelihood ratio test in random coefficient models
- Real-time detection of local no-arbitrage violations
- Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
- Testing for a bubble with a stochastically varying explosive coefficient
- Quantile analysis for financial bubble detection and surveillance
- Bubbles and crashes: a tale of quantiles
- An improved procedure for retrospectively dating the emergence and collapse of bubbles
- Speculative bubbles in the recent AI boom: Nasdaq and the Magnificent Seven
- A new test for unit roots with a partial quadratic trend
- Detecting bubbles via FDR and FNR based on calibrated p -values
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