In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for
โฆ LIBER โฆ
Testing for long range dependence in banking equity indices
โ Scribed by Daniel O. Cajueiro; Benjamin M. Tabak
- Book ID
- 108088520
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 101 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0960-0779
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