Testing explosive bubbles with time-varying volatility

DOI10.1080/07474938.2018.1536099MaRDI QIDQ5860962zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

explosive autoregressionrational bubbleright-tailed unit root testingtime-varying volatilityweighted least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic growth models (91B62)

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Cites work

• Adaptive estimation of autoregressive models with time-varying variances
• Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Efficient Tests for an Autoregressive Unit Root
• 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
• Testing for structural change under non-stationary 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
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(17)

• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• scientific article; zbMATH DE number 6858228 (Why is no real title available?)
• Asymptotic behavior of delay times of bubble monitoring tests
• Unit root test with high-frequency data
• Testing for rational bubbles in a coexplosive vector autoregression
• Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
• Bubble detection and sector trading in real time
• Tests for an end-of-sample bubble in financial time series
• Testing for explosive bubbles: a review
• Robust testing for explosive behavior with strongly dependent errors
• On testing for bubbles during hyperinflations
• New robust inference for predictive regressions
• Testing for a bubble with a stochastically varying explosive coefficient
• Quantile analysis for financial bubble detection and surveillance
• A new heteroskedasticity-robust test for explosive bubbles
• Testing for parameter change epochs in GARCH time series
• Detecting bubbles via FDR and FNR based on calibrated p -values

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