Search Results - subject:"SADF and GSADF"

Bubbles all the way down? : detecting and date-stamping bubble behaviours in NFT and DeFi markets

Wang, Yizhi; Horky, Florian; Baals, Lennart J.; Lucey, … - In: Journal of Chinese economic and business studies 20 (2022) 4, pp. 415-436

Persistent link: https://www.econbiz.de/10013483172

Are we in a bubble? : financial vulnerabilities in semiconductor, Web3, and genetic engineering markets

Wu, Zewen - In: International review of economics & finance : IREF 90 (2024), pp. 32-44

Persistent link: https://www.econbiz.de/10014446857

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 145-172

Persistent link: https://www.econbiz.de/10012585891

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - In: Empirical Economics 61 (2020) 1, pp. 145-172

In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests for detecting and date-stamping financial bubbles. Our Monte Carlo simulations find that the majority of the sup-ADF-style...

Persistent link: https://www.econbiz.de/10014504230

Sup-ADF-style bubble detection methods under test

Monschang, Verena; Wilfling, Bernd - 2019

and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal …). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have …

Persistent link: https://www.econbiz.de/10012099130

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - 2019

Persistent link: https://www.econbiz.de/10012287533