Tests for explosive financial bubbles in the presence of non-stationary volatility
David I. Harvey, Stephen J. Leybourne, Robert Sollis, A.M. Robert Taylor
| Year of publication: |
September 2016
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| Authors: | Harvey, David I. ; Leybourne, Stephen James ; Sollis, Robert ; Taylor, Robert |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 548-574
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| Subject: | Rational bubble | Explosive autoregression | Non-stationary volatility | Right-tailed unit root testing | Spekulationsblase | Bubbles | Volatilität | Volatility | Einheitswurzeltest | Unit root test | Theorie | Theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011663370