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Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
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 alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long …
Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple bubble phenomena within the same sample period. To meet this challenge the present paper develops a new recursive flexible window method that is better suited for practical implementation with long …