Eiji Kurozumi, Anton Skrobotov
arXiv 5 Jun 2023 · Econometrics
arXiv:2306.02977 · PDF · DOI · OpenAlex · Extracted main text
In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the algorithm of estimating the break dates with volatility correction: First, we estimate the emerging date of the explosive bubble, its collapsing date, and the recovering date to the normal market under assumption of homoskedasticity; second, we collect the residuals and then employ the WLS-based estimation of the bubble dates. We demonstrate by Monte Carlo simulations that the accuracy of the break dates estimators improve significantly by this two-step procedure in some cases compared to those based on the OLS method.
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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 | Kurozumi, E. and Skrobotov, A (2022) On the asymptotic behavior of bubble date estimators self | 1.000 | 10 | 4 | 100% |
| 2 | Phillips, P. C. B., Shi, S., and Yu, J (2015) Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500 | 0.737 | 3 | 2 | 100% |
| 3 | Phillips, P. C. B., Shi, S., and Yu, J (2015) Testing for multiple bubbles: Limit theory of real-time detectors | 0.737 | 3 | 2 | 100% |
| 4 | Harvey, D. I., Leybourne, S. J., and Sollis, R (2017) Improving the accuracy of asset price bubble start and end date estimators | 0.585 | 3 | 1 | 100% |
| 5 | Harvey, D. I., Leybourne, S. J., Sollis, R., and Taylor, A. M. R (2016) Tests for explosive financial bubbles in the presence of non-stationary volatility | 0.511 | 2 | 1 | 100% |
| 6 | Xu, K.-L. and Phillips, P. C. B (2008) Adaptive estimation of autoregressive models with time-varying variances | 0.511 | 2 | 1 | 100% |
| 7 | Cavaliere, G. and Taylor, A. M. R (2007) Testing for unit roots in time series models with non-stationary volatility | 0.405 | 1 | 1 | 100% |
| 8 | Cavaliere, G. and Taylor, A. M. R (2007) Time-transformed unit root tests for models with non-stationary volatility | 0.405 | 1 | 1 | 100% |
| 9 | Phillips, P. C. B., Wu, Y., and Yu, J (2011) Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? | 0.405 | 1 | 1 | 100% |
| 10 | Harris, D., Kew, H., and Taylor, A. M. R (2020) Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 14 scored citations.