H. Peter Boswijk, Jun Yu, Yang Zu
arXiv 3 May 2024 · Econometrics
arXiv:2405.02087 · PDF · DOI · OpenAlex · Extracted main text
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed test has a nuisance-parameter-free asymptotic distribution and is easy to implement. We study the size and power properties of the test in Monte Carlo simulations. A real-time date-stamping strategy based on the devolatized sample is proposed for the origination and conclusion dates of the explosive regime. Conditions under which the real-time date-stamping strategy is consistent are established. The test and the date-stamping strategy are applied to study explosive behavior in cryptocurrency and stock markets.
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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 | Phillips, P. C. B., S. Shi, and J. Yu (2015) Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500 | 1.000 | 5 | 3 | 100% |
| 2 | Phillips, P. C. B., Y. Wu, and J. Yu (2011) Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? | 0.979 | 16 | 6 | 94% |
| 3 | Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys (2001) The distribution of realized exchange rate volatility | 0.737 | 3 | 2 | 100% |
| 4 | Barndorff-Nielsen, O. E. and N. Shephard (2002) Econometric analysis of realized volatility and its use in estimating stochastic volatility models | 0.737 | 3 | 2 | 100% |
| 5 | Harvey, D. I., S. J. Leybourne, R. Sollis, and A. R. Taylor (2016) Tests for explosive financial bubbles in the presence of non-stationary volatility | 0.737 | 3 | 2 | 100% |
| 6 | Andersen, T. G., V. Todorov, and B. Zhou (2023) Real-time detection of local no-arbitrage violations | 0.644 | 4 | 1 | 100% |
| 7 | Christensen, K., R. Oomen, and R. Renò (2022) The drift burst hypothesis | 0.644 | 2 | 2 | 100% |
| 8 | Phillips, P. C. B., S. Shi, and J. Yu (2015) Testing for multiple bubbles: Limit theory of real-time detectors | 0.644 | 2 | 2 | 100% |
| 9 | Zhou, Q. and J. Yu (2015) Asymptotic theory for linear diffusions under alternative sampling schemes | 0.644 | 2 | 2 | 100% |
| 10 | Perron, P (1991) A continuous time approximation to the unstable first-order autoregressive process: the case without an intercept | 0.644 | 2 | 2 | 100% |
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