Testing for multiple bubbles: limit theory of real-time detectors

DOI10.1111/IERE.12131zbMATH Open1404.62112OpenAlexW3121133327MaRDI QIDQ5744882FDOQ5744882

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

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/1511

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zbMATH Keywords

limit theoryfinancial bubble detectionreal-time dating algorithm

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Limit theory for moderate deviations from a unit root
• Dating the timeline of financial bubbles during the subprime crisis
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500

Cited In (42)

• Real-time monitoring for explosive financial bubbles
• On the asymptotic behavior of bubble date estimators
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• Testing for explosive bubbles: a review
• A new robust inference for predictive quantile regression
• Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices
• A Unified Inference for Predictive Quantile Regression
• Why topological data analysis detects financial bubbles?
• Random coefficient continuous systems: testing for extreme sample path behavior
• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions
• Limit theory for moderate deviations from a unit root with a break in variance
• Asymptotic theory for regression models with fractional local to unity root errors
• Financial bubble implosion and reverse regression
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Double asymptotics for explosive continuous time models
• Unit root test with high-frequency data
• A study on asset price bubble dynamics: explosive trend or quadratic variation?
• In-fill asymptotic theory for structural break point in autoregressions
• A two-step machine learning approach to predict S\&P 500 bubbles
• A perspective on recent methods on testing predictability of asset returns
• Limit theory for explosive autoregression under conditional heteroskedasticity
• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market
• Sequential monitoring for changes from stationarity to mild non-stationarity
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Asymptotic properties of bubble monitoring tests
• Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
• Robust testing for explosive behavior with strongly dependent errors
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Limit theory for VARs with mixed roots near unity
• Limit theory for mildly integrated process with intercept
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Testing for mild explosivity and bubbles in LME non-ferrous metals prices
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• Asymptotic theory and unified confidence region for an autoregressive model
• Asymptotic behavior of delay times of bubble monitoring tests
• Estimating multiple breaks in nonstationary autoregressive models
• Price bubbles in Beijing carbon market and environmental policy announcement
• Testing for explosive bubbles in the presence of non-Gaussian conditions
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
• Rational bubbles: too many to be true?
• Bubble detection and sector trading in real time

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