𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Periodically collapsing stock price bubbles: a robust test

✍ Scribed by Mark P. Taylor; David A. Peel

Book ID
117985895
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
58 KB
Volume
61
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Detecting periodically collapsing bubble
Detecting periodically collapsing bubbles: a Markov-switching unit root test
✍ Stephen G. Hall; Zacharias Psaradakis; Martin Sola πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 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