Asymptotic properties of bubble monitoring tests

DOI10.1080/07474938.2019.1697086zbMATH Open1490.62460OpenAlexW2993384069MaRDI QIDQ5860992FDOQ5860992

Authors: Eiji Kurozumi 

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2019.1697086

Recommendations

• Asymptotic behavior of delay times of bubble monitoring tests
• When bubbles burst: econometric tests based on structural breaks
• Real-time monitoring for explosive financial bubbles
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• A simple test for a bubble based on growth and acceleration

zbMATH Keywords

CUSUM testlocal powermonitoring testGSADF teston-line testSADF test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)

Cites Work

• Delay time in sequential detection of change
• Delay times of sequential procedures for multiple time series regression models
• Monitoring Structural Change
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• Sample Splitting and Threshold Estimation
• Monitoring changes in linear models
• Change‐point monitoring in linear models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Dating the timeline of financial bubbles during the subprime crisis
• Uniform Limit Theory for Stationary Autoregression
• 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
• Probability inequalities.
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Tests for an end-of-sample bubble in financial time series
• Financial bubble implosion and reverse regression
• Real-time monitoring for explosive financial bubbles
• Novel panel cointegration tests emending for cross-section dependence with \(N\) fixed

Cited In (3)

• Testing for explosive bubbles: a review
• Testing for multiple bubbles: limit theory of real-time detectors
• Asymptotic behavior of delay times of bubble monitoring tests

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