Sequential detector statistics for speculative bubbles

DOI10.1111/JTSA.12845MaRDI QIDQ6938475zbMATH OpenFDO

Authors Jörg Breitung, Max Diegel

Publication date 25 August 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12845

zbMATH Keywords

explosive processLBI statisticmonitoringspeculative bubbles

Mathematics Subject Classification ID

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

Cites work

• A modification of the Schmidt-Phillips unit root test
• Asymptotic properties of bubble monitoring tests
• BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
• Efficient Tests for an Autoregressive Unit Root
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Limit theory for moderate deviations from a unit root
• Monitoring Structural Change
• Real-time monitoring for explosive financial bubbles
• Testing for moderate explosiveness
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for unit roots in time series models with non-stationary volatility
• Tests for an end-of-sample bubble in financial time series
• The Order of Differencing in ARIMA Models
• Unit Root Tests under Time-Varying Variances
• When bubbles burst: econometric tests based on structural breaks

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