TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

DOI10.1111/iere.12132zbMath1404.62111OpenAlexW3125260748MaRDI QIDQ5744881

Jun Yu, Peter C. B. Phillips, Shuping Shi

Publication date: 10 February 2016

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1795

zbMATH Keywords

episodes of exuberance and collapses financial bubbles testing S\&P 500 stock market

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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