Tests for explosive financial bubbles in the presence of non-stationary volatility☆

@article{Harvey2016TestsFE,
  title={Tests for explosive financial bubbles in the presence of non-stationary volatility☆},
  author={David I. Harvey and Stephen J. Leybourne and Robert Sollis and A. M. Robert Taylor},
  journal={Journal of Empirical Finance},
  year={2016},
  volume={38},
  pages={548-574}
}
View via Publisher
eprint.ncl.ac.uk
114 Citations
Highly Influential Citations
11
Background Citations
27
Methods Citations
35
Results Citations
2

Figures and Tables from this paper

114 Citations

SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY

This article considers the problem of testing for an explosive bubble in financial data in the presence of time-varying volatility. We propose a sign-based variant of the Phillips, Shi, and Yu (2015,…

Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

We analyze an empirically important issue with the recursive right-tailed unit root tests for bubbles in asset prices. First, we show that serially correlated innovations, which is a feature that is…

Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility

This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the…

Tests for an end-of-sample bubble in financial time series

ABSTRACT In this paper, we examine the issue of detecting explosive behavior in economic and financial time series when an explosive episode is both ongoing at the end of the sample and of finite…

Testing for Co‐explosive Behaviour in Financial Time Series

This article proposes a test to determine if two price series that each contain an explosive autoregressive regime consistent with the presence of a bubble are related in the sense that a linear…

Econometric Analysis of Asset Price Bubbles *

In the presence of bubbles, asset prices consist of a fundamental and a bubble component, with the bubble component following an explosive dynamic. The general idea for bubble identification is to…

Bubble testing under deterministic trends

This paper develops the asymptotic theory of the ordinary least squares estimator of the autoregressive (AR) coefficient in various AR models, when data is generated from trend-stationary models in…

CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility

We generalize the Homm and Breitung (2012) CUSUM-based procedure for the real-time detection of explosive autoregressive episodes in financial price data to allow for time-varying volatility. Such…

Testing for Speculative Bubbles: Revisiting the Rolling Window

This paper re-evaluates a more simple and perhaps somewhat neglected approach to the date-stamping of bubbles, namely the rolling-window unit root testing approach, and provides a comprehensive comparison of its performance against the recursive and rolling-recursive methods.

Bubble testing under polynomial trends

This paper develops the asymptotic theory of the least squares estimator of the autoregressive (AR) coefficient in an AR(1) regression with intercept when data is generated from a polynomial trend…
...

References

SHOWING 1-10 OF 44 REFERENCES

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning…

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

The presence of permanent volatility shifts in key macroeconomic and financial variables in developed economies appears to be relatively common. Conventional unit root tests are unreliable in the…

Explosive Behavior in the 1990s' NASDAQ: When Did Exuberance Escalate Asset Values?

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…

Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods

We propose several tests for rational bubbles and investigate their power properties. The focus lies on the case where bubble detection is reduced to testing for a unknown change from a random walk…

Bootstrap M Unit Root Tests

In this article we propose wild bootstrap implementations of the local generalized least squares (GLS) de-trended M and ADF unit root tests of Stock (1999), Ng and Perron (2001), and Elliott et al.…

Improving the accuracy of asset price bubble start and end date estimators

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

In this paper we provide a unified theory, and associated invariance principle, for the large-sample distributions of the Dickey–Fuller class of statistics when applied to unit root processes driven…

Pitfalls in Testing for Explosive Bubbles in Asset Prices

A number of studies (e.g., Robert J. Shiller, 1981; Olivier J. Blanchard and Mark Watson, 1982; Kenneth D. West, 1988) have argued that dividend and stock price data are not consistent with the…

Financial Bubble Implosion

Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may take several different forms depending…

Testing for Multiple Bubbles: Limit Theory of Real‐Time Detectors

The limit theory of real‐time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu and in a companion paper by the present authors are provided, indicating that the PSY moving window detector is more reliable than the PWy strategy, sequential application of the PWY procedure, and the CUSUM procedure.