Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …

Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …

This review discusses methods of testing for explosive bubbles in a time series. A large number of recently developed … for dating the explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Also …

important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use … negative bubbles in the short-, medium- and long-term stock markets of the G7 countries. While detecting major crashes and … of oil price uncertainty on the bubbles indicators. After controlling for the impacts of output growth, inflation, and …

This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …

In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the … algorithm of estimating the break dates with volatility correction: First, we estimate the emerging date of the explosive bubble …

hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …