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Testing for rational bubbles in a coexplosive vector autoregression

✍ Scribed by Tom Engsted; Bent Nielsen


Book ID
115088912
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
763 KB
Volume
15
Category
Article
ISSN
1368-4221

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Testing for rational bubbles in banking
✍ Daniel O. Cajueiro; Benjamin M. Tabak πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 199 KB

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