Testing for a rational bubble under long memory

DOI10.1080/14697688.2011.578151MaRDI QIDQ5745639zbMATH OpenOpenAlexFDO

Authors Michael Frömmel, Robinson Kruse

Publication date 30 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2011.578151

zbMATH Keywords

fractional integrationrational bubbleschanging persistencedividend-price ratio

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Alternative forms of fractional Brownian motion
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Efficient Tests for an Autoregressive Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Periodically collapsing stock price bubbles: A robust test
• Rational bubbles. A test
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a break in persistence under long-range dependencies
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests of bias in log-periodogram regression
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(6)

• Rational bubbles. A test
• scientific article; zbMATH DE number 2096860 (Why is no real title available?)
• When bubbles burst: econometric tests based on structural breaks
• scientific article; zbMATH DE number 6858228 (Why is no real title available?)
• Semiparametric detection of changes in long range dependence
• Did long-memory of liquidity signal the European sovereign debt crisis?

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