Detecting periodically collapsing bubble
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Stephen G. Hall; Zacharias Psaradakis; Martin Sola
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Article
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1999
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John Wiley and Sons
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English
โ 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