Testing for explosive bubbles: a review

DOI10.1515/DEMO-2022-0152zbMATH Open1514.62173arXiv2207.08249MaRDI QIDQ6160719FDOQ6160719

Authors: Anton Skrobotov 

Publication date: 26 June 2023

Published in: Dependence Modeling (Search for Journal in Brave)

Abstract: This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.

Full work available at URL: https://arxiv.org/abs/2207.08249

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zbMATH Keywords

explosive autoregressiontime-varying volatilityrational bubbleright-tailed unit root testingtesting for explosive bubble

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Title not available (Why is that?)
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Cited In (8)

• On the asymptotic behavior of bubble date estimators
• Identifying common and idiosyncratic explosive behaviors in the large dimensional factor model with an application to U.S. state-level house prices
• Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
• Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
• A simple test for a bubble based on growth and acceleration
• Testing for mild explosivity and bubbles in LME non-ferrous metals prices
• Testing explosive bubbles with time-varying volatility
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

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