Time-transformed test for bubbles under non-stationary volatility
Eiji Kurozumi, Anton Skrobotov, and Alexey Tsarev
| Year of publication: |
2023
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|---|---|
| Authors: | Kurozumi, Eiji ; Skrobotov, Anton ; Tsarev, Alexey |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 4, p. 1282-1307
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| Subject: | explosive autoregression | rational bubble | right-tailed unit root testing | time-transformed data | time-varying volatility | variance profile | Volatilität | Volatility | Spekulationsblase | Bubbles | Einheitswurzeltest | Unit root test | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014391459