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Rational bubbles and fractional integration

Kruse, Robinson (contributor) - 2008

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

Persistent link: https://www.econbiz.de/10003672198

Gronwald, Marc - 2019

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 …

Persistent link: https://www.econbiz.de/10012033146

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

Persistent link: https://www.econbiz.de/10010239739

Fixed-bandwidth CUSUM tests under long memory

Leschinski, Christian; Wenger, Kai - 2018

We propose a family of self-normalized CUSUM tests for structural change under long memory. The test statistics apply non-parametric kernel-based fixed-b and fixed-m long-run variance estimators and have well-defined limiting distributions that only depend on the long-memory parameter. A Monte...

Persistent link: https://www.econbiz.de/10011957769

A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...

Persistent link: https://www.econbiz.de/10011655296

Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks

Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017

It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...

Persistent link: https://www.econbiz.de/10011673153

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017

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

Persistent link: https://www.econbiz.de/10011674010

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10003747376

Dividend growth predictability and the price-dividend ratio

Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012

Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...

Persistent link: https://www.econbiz.de/10009684124

Change-in-mean tests in long-memory time series : a review of recent developments

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

It is well known that standard tests for a mean shift are invalid in long-range dependent time series. Therefore, several long memory robust extensions of standard testing principles for a change-in-mean have been proposed in the literature. These can be divided into two groups: those that...

Persistent link: https://www.econbiz.de/10011667075

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