Testing for explosive bubbles: a review
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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.
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Cites work
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- scientific article; zbMATH DE number 6858228 (Why is no real title available?)
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
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- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
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Cited in
(13)- A simple test for a bubble based on growth and acceleration
- Testing for mild explosivity and bubbles in LME non-ferrous metals prices
- Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
- Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
- Testing explosive bubbles with time-varying volatility
- Tests for an end-of-sample bubble in financial time series
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
- 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
- Sequential monitoring for changes in GARCH(1,1) models without assuming stationarity
- Testing for a bubble with a stochastically varying explosive coefficient
- Quantile analysis for financial bubble detection and surveillance
- An improved procedure for retrospectively dating the emergence and collapse of bubbles
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