arXiv 17 Jul 2022 · Econometrics · publishedDependence Modeling (2023) · 10 citations (OpenAlex)
arXiv:2207.08249 · PDF · DOI · OpenAlex · Extracted main text
This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.
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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.I. and Leybourne, S.J. and Sollis, R. and Taylor, A.M.R (2016) Tests for explosive financial bubbles in the presence of non-stationary volatility | 1.000 | 11 | 3 | 100% |
| 2 | Harvey, D.I and Leybourne, S.J. and Zu, Y (2020) Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility | 1.000 | 9 | 3 | 100% |
| 3 | Phillips, P.C.B. and Yu, J (2011) Dating the Timeline of Financial Bubbles during the Subprime Crisis | 1.000 | 8 | 3 | 100% |
| 4 | Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor,… (2017) Tests for an end-of-sample bubble in financial time series | 1.000 | 7 | 3 | 100% |
| 5 | Harvey, D.I. and Leybourne, S.J. and Sollis, R (2017) Improving the accuracy of asset price bubble start and end date estimators | 1.000 | 7 | 3 | 100% |
| 6 | Phillips, P.C.B. and Shi, S (2020) Real time monitoring of asset markets: Bubbles and crises | 1.000 | 7 | 3 | 100% |
| 7 | Phillips, P.C.B. and Wu, Y. and Yu, J (2011) Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? | 1.000 | 6 | 3 | 100% |
| 8 | Phillips, P.C.B. and Magdalinos, T (2007) Limit Theory for Moderate Deviations from a Unit Root | 1.000 | 5 | 3 | 100% |
| 9 | Lui, Yiu Lim (2019) Testing for Rational Bubbles under Strongly Dependent Errors | 0.928 | 4 | 3 | 100% |
| 10 | Phillips, Peter CB and Shi, Shuping and Yu, Jun (2015) Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500 | 0.928 | 4 | 3 | 100% |
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