Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev
arXiv 27 Dec 2020 · Econometrics · publishedJournal of Financial Econometrics (2022) · 7 citations (OpenAlex)
arXiv:2012.13937 · PDF · DOI · OpenAlex · Extracted main text
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 variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under the null hypothesis and its limiting distribution coincides with that of the standard test under homoskedasticity, so that the test does not require computationally extensive methods for inference. Appealing finite sample properties are demonstrated through Monte-Carlo simulations. An empirical application demonstrates that the upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Harvey, D., Leybourne, S., Sollis, R., and Taylor, A (2016) Tests for Explosive Financial Bubbles in the Presence of Non-stationary Volatility | 1.000 | 8 | 3 | 100% |
| 2 | Harvey, D., Leybourne, S., and Zu, Y (2019) Tests Explosive Bubbles with Time-varying Volatility | 1.000 | 7 | 3 | 100% |
| 3 | Phillips, P., Wu, Y., and Yu, J (2011) Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? | 1.000 | 7 | 3 | 100% |
| 4 | Cavaliere, G. and Taylor, A. M. R (2007) Testing for unit roots in time series models with non-stationary volatility | 0.941 | 6 | 4 | 83% |
| 5 | Cavaliere, G. and Taylor, A. M. R (2007) Time-transformed unit root tests for models with non-stationary volatility | 0.935 | 11 | 6 | 82% |
| 6 | Harvey, D., Leybourne, S., and Zu, Y (2021) Estimation of the variance function in structural break autoregressive models with nonstationary and explosive segments | 0.909 | 8 | 5 | 75% |
| 7 | Phillips, P., Shi, S., and Yu, J (2015) Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 | 0.843 | 3 | 3 | 100% |
| 8 | Phillips, P., Shi, S., and Yu, J (2015) Testing for Multiple Bubbles: Limit Theory of Real-Time Detectors | 0.843 | 3 | 3 | 100% |
| 9 | Whitehouse, E (2019) Explosive Asset Price Bubble Detection with Unknown Bubble Length and Initial Condition | 0.737 | 3 | 2 | 100% |
| 10 | Harvey, D., Leybourne, S., and Zu, Y (2020) Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 17 scored citations.