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Markov Regime Switching and Unit-Root Tests

โœ Scribed by Charles R. Nelson, Jeremy Piger and Eric Zivot

Book ID
124714420
Publisher
American Statistical Association
Year
2001
Tongue
English
Weight
533 KB
Volume
19
Category
Article
ISSN
0735-0015

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๐Ÿ“œ SIMILAR VOLUMES

Markov Regime Switching and Unit-Root Te
Markov Regime Switching and Unit-Root Tests
โœ Nelson, Charles R; Piger, Jeremy; Zivot, Eric ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› American Statistical Association ๐ŸŒ English โš– 238 KB
Detecting periodically collapsing bubble
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โœ Stephen G. Hall; Zacharias Psaradakis; Martin Sola ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 143 KB

This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals. As this is essentially a problem of identifying the col