EXPLOSIVE BEHAVIOR IN THE 1990 s NASDAQ : WHEN DID EXUBERANCE ESCALATE ASSET VALUES ?

@inproceedings{Peter2007EXPLOSIVEBI,
  title={EXPLOSIVE BEHAVIOR IN THE 1990 s NASDAQ : WHEN DID EXUBERANCE ESCALATE ASSET VALUES ?},
  author={Peter and C. Binquet and Phillips},
  year={2007}
}
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory… CONTINUE READING
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