Cuñado, J.; Gil-Alana, L.A.; Perez de Gracia, F. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4675-4685
In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998...