Testing explosive bubbles with time-varying volatility
DOI10.1080/07474938.2018.1536099zbMATH Open1490.62446OpenAlexW2896420624MaRDI QIDQ5860962FDOQ5860962
Authors: David I. Harvey, Stephen Leybourne, Yang Zu 
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://nottingham-repository.worktribe.com/output/1036376
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weighted least squaresexplosive autoregressiontime-varying volatilityrational bubbleright-tailed unit root testing
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic growth models (91B62)
Cites Work
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Efficient Tests for an Autoregressive Unit Root
- Adaptive estimation of autoregressive models with time-varying variances
- Testing for unit roots in time series models with non-stationary volatility
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Testing for structural change under non-stationary variances
- Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
Cited In (11)
- Testing for explosive bubbles: a review
- Unit root test with high-frequency data
- Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
- Title not available (Why is that?)
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Robust testing for explosive behavior with strongly dependent errors
- On testing for bubbles during hyperinflations
- Asymptotic behavior of delay times of bubble monitoring tests
- New robust inference for predictive regressions
- Testing for rational bubbles in a coexplosive vector autoregression
- Bubble detection and sector trading in real time
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