Dating the Timeline of Financial Bubbles During the Subprime Crisis 1

@inproceedings{Phillips2009DatingTT,
  title={Dating the Timeline of Financial Bubbles During the Subprime Crisis 1},
  author={Peter C. B. Phillips},
  year={2009}
}
A new recursive regression methodology is introduced to analyze the bubble characteristics of various …nancial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu and Yu (2010) and provide a technology for identifying bubble behavior and consistent dating of their origination and collapse. The tests also serve as an early warning diagnostic of bubble activity. Seven relevant …nancial series are investigated, including three …nancial assets (the Nasdaq… CONTINUE READING
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