Cunado, J.; Gil-Alana, L. A.; Gracia, F. Perez de - In: Applied Financial Economics 17 (2007) 16, pp. 1313-1321
In this article we test for bubbles in the S&P 500 stock market index using monthly data over the period 1871m1-2004m6. We use fractional integration techniques, allowing for structural breaks and a nonlinear adjustment process of prices to dividends. We find a significant structural break...