[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Testing for Multiple Bubbles. (2012). Yu, Jun ; Shi, Shuping ; Phillips, Peter ; Peter C. B. Phillips, .
In: Working Papers.
RePEc:siu:wpaper:13-2012.

Full description at Econpapers || Download paper

Cited: 78

Citations received by this document

Cites: 33

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. What are asset price bubbles? A survey on definitions of financial bubbles. (2025). Baumann, Michael Heinrich ; Janischewski, Anja.
    In: MPRA Paper.
    RePEc:pra:mprapa:123676.

    Full description at Econpapers || Download paper

  2. Detecting and date-stamping bubbles in fan tokens. (2024). Demir, Ender ; Ersan, Oguz ; Assaf, Ata.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:92:y:2024:i:c:p:98-113.

    Full description at Econpapers || Download paper

  3. Are markets sentiment driving the price bubbles in the virtual?. (2024). ben Osman, Myriam ; Guesmi, Khaled ; Naoui, Kamel ; Hamdi, Haykel ; Galariotis, Emilios.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:89:y:2024:i:pb:p:272-285.

    Full description at Econpapers || Download paper

  4. Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate. (2023). Qin, Meng ; Chang, Hsu-Ling ; Su, Chi Wei ; Ran, Alexandra-Mdlina.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000892.

    Full description at Econpapers || Download paper

  5. Exploring Bubbles in the Digital Economy: The Case of China. (2023). Mirza, Nawazish ; Umar, Muhammad ; Qin, Meng ; Su, Chi-Wei.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:57:y:2023:i:c:s1044028323000662.

    Full description at Econpapers || Download paper

  6. Are there bubbles in the vanilla price?. (2022). Umar, Muhammad ; Khan, Khalid ; Su, Chi-Wei ; Khurshid, Adnan.
    In: Agricultural and Food Economics.
    RePEc:spr:agfoec:v:10:y:2022:i:1:d:10.1186_s40100-022-00213-y.

    Full description at Econpapers || Download paper

  7. Bubble contagion effect between the main precious metals. (2022). Maghyereh, Aktham ; Abdoh, Hussein.
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:sef-08-2021-0345.

    Full description at Econpapers || Download paper

  8. Policy-driven or market-driven? Evidence from steam coal price bubbles in China. (2022). Chang, Tsangyao ; Li, Zheng-Zheng ; Lobon, Oana-Ramona ; Su, Chi-Wei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003233.

    Full description at Econpapers || Download paper

  9. Boom-bust cycles in oil consumption: The role of explosive bubbles and asymmetric adjustments. (2022). Kassouri, Yacouba.
    In: Energy Economics.
    RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322001785.

    Full description at Econpapers || Download paper

  10. Constructing a NFT Price Index and Applications. (2022). Schnoering, Hugo ; Inzirillo, Hugo.
    In: Papers.
    RePEc:arx:papers:2202.08966.

    Full description at Econpapers || Download paper

  11. Testing for explosivity in US-Pak Exchange Rate via Sequential ADF Procedures. (2021). Bashir, Uzma ; Ahmed, Mumtaz ; Ullah, Irfan.
    In: MPRA Paper.
    RePEc:pra:mprapa:109607.

    Full description at Econpapers || Download paper

  12. Volatility Spillover and International Contagion of Housing Bubbles. (2021). Bago, Jean-Louis ; Akakpo, Koffi ; Rherrad, Imad ; Ouedraogo, Ernest.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:287-:d:580531.

    Full description at Econpapers || Download paper

  13. Do multiple bubbles exist in coal price?. (2021). Khan, Khalid ; Su, Chi-Wei ; Rehman, Ashfaq U.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002439.

    Full description at Econpapers || Download paper

  14. Do crude oil price bubbles occur?. (2021). Yue, Xiaoguang ; Umar, Muhammad ; Khan, Khalid ; Su, Chi-Wei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309661.

    Full description at Econpapers || Download paper

  15. Testing for Bubbles in the Chinese Art Market. (2020). Li, Xin ; Qin, Meng ; Zhao, Fahai ; Su, Chi-Wei.
    In: SAGE Open.
    RePEc:sae:sagope:v:10:y:2020:i:1:p:2158244019901249.

    Full description at Econpapers || Download paper

  16. A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Papadamou, Stephanos ; Corbet, Shaen ; Kyriazis, Nikolaos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

    Full description at Econpapers || Download paper

  17. Does Bitcoin bubble burst?. (2019). Li, Zheng-Zheng ; Tao, Ran ; Lobon, Oana-Ramona ; Su, Chi-Wei.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:53:y:2019:i:1:d:10.1007_s11135-018-0728-3.

    Full description at Econpapers || Download paper

  18. Detecting bubbles in China’s regional housing markets. (2019). Pan, Wei-Fong.
    In: Empirical Economics.
    RePEc:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1394-3.

    Full description at Econpapers || Download paper

  19. Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX. (2018). Koy, Ayben.
    In: Business and Economics Research Journal.
    RePEc:ris:buecrj:0327.

    Full description at Econpapers || Download paper

  20. Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. (2018). Li, Zheng-Zheng ; Tao, Ran ; Si, Deng-Kui ; Su, Chi-Wei.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:46:y:2018:i:c:p:56-63.

    Full description at Econpapers || Download paper

  21. Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

    Full description at Econpapers || Download paper

  22. Dynamic Stochastic General EQUILIBRIUM ‐ BASED Assessment of Nonlinear Macroprudential Policies: Evidence from Hong Kong. (2018). Paetz, Michael ; Funke, Michael.
    In: Pacific Economic Review.
    RePEc:bla:pacecr:v:23:y:2018:i:4:p:632-657.

    Full description at Econpapers || Download paper

  23. When Will Occur the Crude Oil Bubbles?. (2017). Li, Zheng-Zheng ; Lobon, Oana-Ramona ; Chang, Hsu-Ling ; Su, Chi-Wei.
    In: Energy Policy.
    RePEc:eee:enepol:v:102:y:2017:i:c:p:1-6.

    Full description at Econpapers || Download paper

  24. Asset Price Bubbles: Existence, Persistence and Migration. (2017). Torres, Jhon ; Ojeda-Joya, Jair ; Gomez-Gonzalez, Jose ; Franco, Juan P.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:85:y:2017:i:1:p:52-67.

    Full description at Econpapers || Download paper

  25. Value-at-Risk and Expected Shortfall for the major digital currencies. (2017). Stavroyiannis, Stavros.
    In: Papers.
    RePEc:arx:papers:1708.09343.

    Full description at Econpapers || Download paper

  26. (Pro?)-cyclicality of collateral haircuts and systemic illiquidity. (2016). Panz, Sven ; Glaser, Florian.
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201627.

    Full description at Econpapers || Download paper

  27. Testing explosive behavior in the gold market. (2016). Long, Wei ; Li, QI.
    In: Empirical Economics.
    RePEc:spr:empeco:v:51:y:2016:i:3:d:10.1007_s00181-015-1030-z.

    Full description at Econpapers || Download paper

  28. Inflation and Bubbles in the Japanese Condominium Market. (2016). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:71192.

    Full description at Econpapers || Download paper

  29. Persistent Liquidity. (2016). Kejak, Michal ; Gillman, Max ; Ghiani, Giulia.
    In: Working Papers.
    RePEc:msl:workng:1010.

    Full description at Econpapers || Download paper

  30. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun. (2016). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Yusupova, Alisa ; Mack, Adrienne ; Grossman, Valerie.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:53:y:2016:i:4:d:10.1007_s11146-015-9531-2.

    Full description at Econpapers || Download paper

  31. The shine of precious metals around the global financial crisis. (2016). McCrorie, Roderick J ; Figuerola-Ferretti, Isabel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pb:p:717-738.

    Full description at Econpapers || Download paper

  32. TESTING FOR BUBBLES IN THE HOUSING MARKET: FURTHER EVIDENCE FROM TURKEY. (2015). Erguzel, Oylum Ehvez ; Zeren, Feyyaz.
    In: Studii Financiare (Financial Studies).
    RePEc:vls:finstu:v:19:y:2015:i:1:p:40-52.

    Full description at Econpapers || Download paper

  33. “Measuaring Uncertainty in the Stock Market”. (2015). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201524.

    Full description at Econpapers || Download paper

  34. An investigation into multivariate variance ratio statistics and their application to stock market predictability. (2015). LINTON, OLIVER ; Hong, Seok Young ; Zhang, Huijun.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:13/15.

    Full description at Econpapers || Download paper

  35. Asset Bubbles: Detecting and Measuring Them Are Not Easy Tasks. (2015). Contessi, Silvio ; Kerdnunvong, Usa .
    In: The Regional Economist.
    RePEc:fip:fedlre:00079.

    Full description at Econpapers || Download paper

  36. Analysis of the Behavior of Amateur and Professional Investors’ Impact on the Formation of Bubbles in Tehran Stock Market. (2015). Mamipour, Siab ; Sepahi, Mahshid.
    In: Iranian Economic Review (IER).
    RePEc:eut:journl:v:19:y:2015:i:3:p:341.

    Full description at Econpapers || Download paper

  37. Super-exponential growth expectations and the global financial crisis. (2015). Leiss, Matthias ; Nax, Heinrich H ; Sornette, Didier.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:65434.

    Full description at Econpapers || Download paper

  38. Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?. (2015). GUPTA, RANGAN ; El Montasser, Ghassen ; Wanke, Peter ; Martins, Andre Luis .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:52:y:2015:i:c:p:19-23.

    Full description at Econpapers || Download paper

  39. Signalling the Dotcom bubble: A multiple changes in persistence approach. (2015). De Medeiros, Otavio ; Leone, Vitor.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:55:y:2015:i:c:p:77-86.

    Full description at Econpapers || Download paper

  40. Gold bubbles: When are they most likely to occur?. (2015). Zhao, Yanping ; Nian, Rui ; Chang, Hsu-Ling ; Su, Chi-Wei.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:34-35:y:2015:i::p:17-23.

    Full description at Econpapers || Download paper

  41. Speculative trading in the gold market. (2015). Glover, Kristoffer ; Baur, Dirk G..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:63-71.

    Full description at Econpapers || Download paper

  42. Super-exponential growth expectations and the global financial crisis. (2015). Leiss, Matthias ; Nax, Heinrich H. ; Sornette, Didier.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:55:y:2015:i:c:p:1-13.

    Full description at Econpapers || Download paper

  43. Testing for Bubbles in the Colombian Housing Market: A New Approach. (2015). Ojeda-Joya, Jair ; Gomez-Gonzalez, Jose ; Sicard, Natalia ; Rey-Guerra, Catalina.
    In: Revista Desarrollo y Sociedad.
    RePEc:col:000090:013542.

    Full description at Econpapers || Download paper

  44. An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability. (2015). LINTON, OLIVER ; Hong, Seok Young ; Zhang, Huijun.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1552.

    Full description at Econpapers || Download paper

  45. Is There Excess Liquidity in China?. (2015). Chang, Tsangyao ; Jiang, Xu Zhao ; Liu, Tie Ying ; Su, Chi Wei.
    In: China & World Economy.
    RePEc:bla:chinae:v:23:y:2015:i:3:p:110-126.

    Full description at Econpapers || Download paper

  46. Testing for Multiple Bubbles in the 35 Large and Medium Cities of Real Estate Price in China. (2015). Tsai, Su-Ling ; Haga, Kai-Yin Allison ; Kung, Hsien-Hung.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:xxii:y:2015:i:4(605):p:275-290.

    Full description at Econpapers || Download paper

  47. Testing for Multiple Bubbles in the 35 Large and Medium Cities of Real Estate Price in China. (2015). Tsai, Su-Ling ; Haga, Kai-Yin Allison ; Kung, Hsien-Hung.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:4(605):y:2015:i:4(605):p:275-290.

    Full description at Econpapers || Download paper

  48. Explosive bubbles in house prices? Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J..
    In: CREATES Research Papers.
    RePEc:aah:create:2015-01.

    Full description at Econpapers || Download paper

  49. Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data. (2014). Matei, Marius ; Treepongkaruna, Sirimon ; Dungey, Mardi.
    In: Working Papers.
    RePEc:tas:wpaper:18605.

    Full description at Econpapers || Download paper

  50. Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence. (2014). Kejak, Michal ; Gillman, Max ; Ghiani, Giulia.
    In: Working Papers.
    RePEc:msl:workng:1003.

    Full description at Econpapers || Download paper

  51. Episodes of exuberance in housing markets. (2014). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Yusupova, Alisa ; Mack, Adrienne ; Crossman, Valerie .
    In: Working Papers.
    RePEc:lan:wpaper:64908732.

    Full description at Econpapers || Download paper

  52. Monitoring housing markets for episodes of exuberance. (2014). Martnez-Garca, Enrique ; Pavlidis, Efthymios ; Peel, David ; Yusupova, Alisa ; Mack, Adrienne ; Grossman, Valerie ; Paya, Ivan.
    In: Working Papers.
    RePEc:lan:wpaper:52032583.

    Full description at Econpapers || Download paper

  53. Multivariate variance ratio statistics. (2014). LINTON, OLIVER ; Hong, Seok Young ; Zhang, Huijun.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:29/14.

    Full description at Econpapers || Download paper

  54. Bubbles in food commodity markets: Four decades of evidence. (2014). Irwin, Scott ; Garcia, Philip ; Etienne, Xiaoli.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:42:y:2014:i:c:p:129-155.

    Full description at Econpapers || Download paper

  55. Evolución de los precios de la vivienda en Colombia. (2014). Gustavo Adolfo HERNANDEZ DIAZ, ; Galeano, Gabriel Piraquive.
    In: Archivos de Economía.
    RePEc:col:000118:011208.

    Full description at Econpapers || Download paper

  56. Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence. (2014). Kejak, Michal ; Gillman, Max ; Ghiani, Giulia.
    In: CEU Working Papers.
    RePEc:ceu:econwp:2014_3.

    Full description at Econpapers || Download paper

  57. Multivariate Variance Ratio Statistics. (2014). LINTON, OLIVER ; Hong, Seok Young ; Zhang, Huijun.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1459.

    Full description at Econpapers || Download paper

  58. Bubbles and crises: The role of house prices and credit. (2014). Kragh-Sørensen, Kasper ; Anundsen, Andre ; Kragh-Sorensen, Kasper ; Gerdrup, Karsten ; Hansen, Frank.
    In: Working Paper.
    RePEc:bno:worpap:2014_14.

    Full description at Econpapers || Download paper

  59. Testing for rational speculative bubbles in the Brazilian residential real-estate market. (2014). de Oliveira, Marcelo M. ; Alexandre C. L. Almeida, .
    In: Papers.
    RePEc:arx:papers:1401.7615.

    Full description at Econpapers || Download paper

  60. Price transmission in the Swiss wheat market: does sophisticated border protection make the difference?. (2014). Esposti, Roberto ; Listorti, Giulia.
    In: 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia.
    RePEc:ags:eaae14:182695.

    Full description at Econpapers || Download paper

  61. Agricultural and oil commodities: price transmission and market integration between US and Italy. (2014). Weaver, Robert ; Vasciaveo, Michela ; Rosa, Franco.
    In: Bio-based and Applied Economics Journal.
    RePEc:ags:aieabj:182905.

    Full description at Econpapers || Download paper

  62. Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions. (2013). Skrobotov, Anton.
    In: Working Papers.
    RePEc:gai:wpaper:0083.

    Full description at Econpapers || Download paper

  63. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun. (2013). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Yusupova, Alisa ; Mack, Adrienne.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:165.

    Full description at Econpapers || Download paper

  64. From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks. (2013). Kaufmann, Philipp ; Stephan, Patrick M. ; Bohl, Martin T..
    In: Energy Economics.
    RePEc:eee:eneeco:v:37:y:2013:i:c:p:40-51.

    Full description at Econpapers || Download paper

  65. Renewed Momentum in the German Housing Market: Boom or Bubble?. (2013). Funke, Michael ; Chen, XI.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4287.

    Full description at Econpapers || Download paper

  66. Betreiben Indexfonds Agrarspekulation? Erläuterungen zum Geschäftsmodell und zum weiteren Forschungsbedarf / Do Index Funds Speculate on Agricultural Futures Markets? Explanatory Notes on the Business Model and the Additional Need for Research. (2013). Glauben, Thomas ; Matthias, Will ; Soren, Prehn ; Ingo, Pies ; Jens-Peter, Loy ; Thomas, Glauben.
    In: ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft.
    RePEc:bpj:ordojb:v:64:y:2013:i:1:p:421-442:n:20.

    Full description at Econpapers || Download paper

  67. Explosive Preisentwicklung und spekulative Blasen auf Rohstoffmärkten / Explosive behavior and speculative bubbles on commodity markets. (2013). Holtemöller, Oliver ; Oliver, Holtemoller.
    In: ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft.
    RePEc:bpj:ordojb:v:64:y:2013:i:1:p:405-420:n:19.

    Full description at Econpapers || Download paper

  68. Betreiben Indexfonds Agrarspekulation?: Erläuterungen zum Geschäftsmodell und zum weiteren Forschungsbedarf. (2013). Glauben, Thomas ; Prehn, Soren ; Will, Matthias Georg ; Loy, Jens-Peter ; Pies, Ingo.
    In: IAMO Discussion Papers.
    RePEc:ags:iamodp:158731.

    Full description at Econpapers || Download paper

  69. Are there bubbles in the Sterling-dollar Exchange Rate? New evidence from Sequential ADF Tests. (2012). Chen, Wenjuan.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:201221.

    Full description at Econpapers || Download paper

  70. A DSGE-based assessment of nonlinear loan-to-Value policies: Evidence from Hong Kong. (2012). Funke, Michael ; Paetz, Michael.
    In: BOFIT Discussion Papers.
    RePEc:zbw:bofitp:bdp2012_011.

    Full description at Econpapers || Download paper

  71. Detecting asset price bubbles with time-series methods. (2012). Taipalus, Katja.
    In: Bank of Finland Scientific Monographs.
    RePEc:zbw:bofism:sm2012_047.

    Full description at Econpapers || Download paper

  72. A Gold Bubble?. (2012). Glover, Kristoffer ; Baur, Dirk.
    In: Working Paper Series.
    RePEc:uts:wpaper:175.

    Full description at Econpapers || Download paper

  73. A preliminary investigation of northern Irelands housing market dynamics. (2012). RAMSEY, ELAINE ; Gallagher, Emer ; Bond, Derek.
    In: MPRA Paper.
    RePEc:pra:mprapa:39806.

    Full description at Econpapers || Download paper

  74. A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation. (2012). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan.
    In: Working Papers.
    RePEc:lan:wpaper:18599597.

    Full description at Econpapers || Download paper

  75. A DSGE-based assessment of nonlinear loan-to-Value policies: Evidence from Hong Kong. (2012). Paetz, Michael ; Funke, Michael.
    In: Quantitative Macroeconomics Working Papers.
    RePEc:ham:qmwops:21204.

    Full description at Econpapers || Download paper

  76. Real-time warning signs of emerging and collapsing Chinese house price bubbles. (2012). Chen, XI.
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2012_027.

    Full description at Econpapers || Download paper

  77. A DSGE-based assessment of nonlinear loan-to-Value policies : Evidence from Hong Kong. (2012). Paetz, Michael.
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2012_011.

    Full description at Econpapers || Download paper

  78. Detecting asset price bubbles with time-series methods. (2012). Taipalus, Katja.
    In: Scientific Monographs.
    RePEc:bof:bofism:2012_047.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahamed, L., 2009, Lords of Finance: The Bankers Who Broke the World, Penguin Press, New York.
    Paper not yet in RePEc: Add citation now

  2. Bhargava, A. 1986, On the theory of testing for unit roots in observed time series, Review of Economic Studies, 53, 369â384.

  3. Busetti, F., and A. M. R. Taylor, 2004, Tests of stationarity against a change in persistence, Journal of Econometrics, 123, 33â66.

  4. Campbell, J.Y., and Perron, P., 1991, Pitfalls and opportunities: what macroeconomists should know about unit roots. NBER Macroeconomics Annual, 6, 141â201.

  5. Campbell, J.Y., and Shiller R.J., 1989, The dividend-price ratio and expectations of future dividends and discount factors. The Review of Financial Studies, 1, 195â228.

  6. Charemza, W.W., and Deadman, D.F., 1995, Speculative bubbles with stochastic explosive roots: the failure of unit root testing. Journal of Empirical Finance, 2, 153â163.

  7. Chu, C.J., Stinchcombe, M., and White, H., 1996, Monitoring structural change. Econometrica, 64:1045-1065.

  8. Cochrane, J. H. (2005). Asset Pricing, Princeton: Princeton University Press.
    Paper not yet in RePEc: Add citation now
  9. Cooper, G., 2008, The Origin of Financial Crises: Central Banks, Credit Bubbles and the Eïcient Market Fallacy, Vintage Books, New York.
    Paper not yet in RePEc: Add citation now

  10. Diba, B.T., and Grossman, H.I., 1988, Explosive rational bubbles in stock prices? The American Economic Review, 78, 520â530.

  11. Evans, G.W., 1991, Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81, 922â930.

  12. Ferguson, N., 2008, The Ascent of Money, Penguin Press, New York.
    Paper not yet in RePEc: Add citation now

  13. Funke, M., Hall, S., and Sola, M., 1994, Rational bubbles during Polandâs hyperinïation: implications and empirical evidence. European Economic Review, 38, 1257â1276.

  14. Gurkaynak, R. S., 2008, Econometric tests of asset price bubbles: taking stock. Journal of Economic Surveys, 22, 166â186.

  15. Hall, S.G., Psaradakis, Z., and Sola M., 1999, Detecting periodically collapsing bubbles: A markov-switching unit root test. Journal of Applied Econometrics, 14, 143â154.

  16. Hamilton, J.D., 1994, Time Series Analysis, Princeton University Press.
    Paper not yet in RePEc: Add citation now
  17. Homm U. and J. Breitung, 2011, Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, forthcoming.
    Paper not yet in RePEc: Add citation now

  18. Kim, J. Y. 2000, Detection of change in persistence of a linear time series, Journal of Econometrics, 95, 97â116.

  19. Kindleberger, C. P., and Aliber, R. Z., 2005, Manias, Panics and Crashes; A History of Financial Crises, Hoboken, New Jersey: John Wiley and Sons, Inc.

  20. Lee, J. and P. C. B. Phillips, 2011, Asset Pricing with Financial Bubble Risk. Yale University, Working Paper.
    Paper not yet in RePEc: Add citation now

  21. PÃstor, LuboÅ, and Pietro Veronesi, 2006, Was there a Nasdaq bubble in the late 1990s? Journal of Financial Economics 81, 61â100.

  22. Phillips, P. C. B. and V. Solo, 1992, Asymptotics for Linear Processes. Annals of Statistics 20, 971â1001.
    Paper not yet in RePEc: Add citation now

  23. Phillips, P.C.B., 1987, Time series regression with a unit root. Econometrica 55, 277-301.

  24. Phillips, P.C.B., and Magdalinos, T., 2007, Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136, 115â130.

  25. Phillips, P.C.B., and Perron, P., 1988, Testing for a unit root in time series regression. Biometrika, 75, 335â346.
    Paper not yet in RePEc: Add citation now
  26. Phillips, P.C.B., and Yu, J., 2009, Limit theory for dating the origination and collapse of mildly explosive periods in time series data. Singapore Management University, Unpublished Manuscript.
    Paper not yet in RePEc: Add citation now

  27. Phillips, P.C.B., and Yu, J., 2011, Dating the Timeline of Financial Bubbles During the Subprime Crisis, Quantitative Economics, 2, 455-491.

  28. Phillips, P.C.B., Shi, S., and Yu, J., 2011a, Speciïcation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior. Working Paper, Sim Kee Boon Institute for Financial Economics, Singapore Management University.
    Paper not yet in RePEc: Add citation now
  29. Phillips, P.C.B., Shi, S., and Yu, J., 2011b, Technical Note: Testing for Multiple Bubbles. Manuscript, available from https://sites.google.com/site/shupingshi/TN_GSADF.pdf? attredirects=0&d=1.
    Paper not yet in RePEc: Add citation now

  30. Phillips, P.C.B., Wu, Y., and Yu, J., 2011, Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? International Economic Review, 52, 201-226.

  31. Psaradakis, Z., Sola, M., and Spagnolo, F., 2001, A simple procedure for detecting periodically collapsing rational bubbles. Economics Letters, 24, 317â323.

  32. Shi, S. 2011, Bubbles or volatility: the Markov-switching unit root tests. Australian National University, Working Paper.
    Paper not yet in RePEc: Add citation now

  33. van Norden, S. and Vigfusson, R., 1998, Avoiding the pitfalls: can regime-switching tests reliably detect bubbles? Studies in Nonlinear Dynamics & Econometrics, 3,1â22.

Cocites

Documents in RePEc which have cited the same bibliography

  1. What does the Development Strategy of the Mutual Fund Industry?. (2013). Lee, Joe-Ming.
    In: Journal of Asian Business Strategy.
    RePEc:asi:joabsj:2013:p:94-102.

    Full description at Econpapers || Download paper

  2. Are grain markets in Niger driven by speculation?. (2012). Simonet, Catherine ; Araujo Bonjean, Catherine.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00626409.

    Full description at Econpapers || Download paper

  3. Testing for Multiple Bubbles. (2012). Yu, Jun ; Shi, Shuping ; Phillips, Peter ; Peter C. B. Phillips, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1843.

    Full description at Econpapers || Download paper

  4. UNDERSTANDING THE FUNCTIONAL CENTRAL LIMIT THEOREMS WITH SOME APPLICATIONS TO UNIT ROOT TESTING WITH STRUCTURAL CHANGE. (2011). Rodríguez, Gabriel ; Aquino, Juan ; Rodriguez, Gabriel.
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00319.

    Full description at Econpapers || Download paper

  5. Autoregressions in Small Samples, Priors about Observables and Initial Conditions. (2011). Marcet, Albert ; Jarociński, Marek.
    In: CEP Discussion Papers.
    RePEc:cep:cepdps:dp1061.

    Full description at Econpapers || Download paper

  6. Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion. (2009). Li, Yushu ; Shukur, Ghazi.
    In: Working Paper Series in Economics and Institutions of Innovation.
    RePEc:hhs:cesisp:0184.

    Full description at Econpapers || Download paper

  7. A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests. (2009). van den Akker, Ramon ; Hallin, Marc ; Werker, Bas.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2009_001.

    Full description at Econpapers || Download paper

  8. Argentinean real exchange rate 1900-2006, test purchasing power parity theory. (2008). Dal Bianco, Marcos.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:35:y:2008:i:1:p:33-64.

    Full description at Econpapers || Download paper

  9. Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set. (2008). Pascalau, Razvan.
    In: MPRA Paper.
    RePEc:pra:mprapa:7220.

    Full description at Econpapers || Download paper

  10. Unit Root Tests with Wavelets. (2007). Fan, Yanqin.
    In: MPRA Paper.
    RePEc:pra:mprapa:9832.

    Full description at Econpapers || Download paper

  11. East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests. (2007). Chan, Tze-Haw ; Baharumshah, Ahmad Zubaidi ; Aggarwal, Raj.
    In: MPRA Paper.
    RePEc:pra:mprapa:2023.

    Full description at Econpapers || Download paper

  12. Rural-Urban Income Inequality under Financial Development and Trade Openness in Pakistan: The Econometric Evidence. (2007). Shahbaz, Muhammad ; Aamir, Naveed.
    In: The Pakistan Development Review.
    RePEc:pid:journl:v:46:y:2007:i:4:p:657-672.

    Full description at Econpapers || Download paper

  13. Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability. (2007). Scharler, Johann ; Kwapil, Claudia.
    In: Working Papers.
    RePEc:onb:oenbwp:118.

    Full description at Econpapers || Download paper

  14. Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability. (2007). Scharler, Johann ; Kwapil, Claudia.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:65.

    Full description at Econpapers || Download paper

  15. Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul. (2006). Xiao, Qin ; Randolph Gee Kwang Tan, .
    In: Economic Growth Centre Working Paper Series.
    RePEc:nan:wpaper:0602.

    Full description at Econpapers || Download paper

  16. Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks. (2005). Mayoral, Laura.
    In: Economics Working Papers.
    RePEc:upf:upfgen:956.

    Full description at Econpapers || Download paper

  17. Structural Change and the Order of Integration in Univariate Time Series. (2005). Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp2005.

    Full description at Econpapers || Download paper

  18. Unit Root Tests With Markov-Switching. (2005). Xiao, Qin ; Qin, Xiao ; Gee Kwang Randolph Tan, .
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:95.

    Full description at Econpapers || Download paper

  19. Asymmetric adjustment and nonlinear dynamics in real exchange rates. (2005). Najarian, Serineh ; Leon, Hyginus .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:1:p:15-39.

    Full description at Econpapers || Download paper

  20. Do excessive wage increases raise imports? Theory and evidence.. (2004). Moutos, Thomas ; Malley, Jim.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0401003.

    Full description at Econpapers || Download paper

  21. THE DARK, AND INDEPENDENT, SIDE OF ITALY. (2004). Bovi, Maurizio.
    In: ISAE Working Papers.
    RePEc:isa:wpaper:46.

    Full description at Econpapers || Download paper

  22. Long-run and Cyclical Dynamics in the US Stock Market. (2004). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Economics Series.
    RePEc:ihs:ihsesp:155.

    Full description at Econpapers || Download paper

  23. Long-run and Cyclical Dynamics in the US Stock Market. (2004). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:344.

    Full description at Econpapers || Download paper

  24. Unit Root Tests with Markov-Switching. (2004). Xiao, Qin ; Qin, Xiao ; Kwang, Tan Gee.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:145.

    Full description at Econpapers || Download paper

  25. Testing of Nonstationary Cycles in Financial Time Series Data. (2003). Gil-Alana, Luis ; Depenya, Javier.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1503.

    Full description at Econpapers || Download paper

  26. The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power. (2003). Yoon, Gawon.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:10:p:627-631.

    Full description at Econpapers || Download paper

  27. A Measure of Distance for the Unit Root Hypothesis. (2002). Marsh, Patrick.
    In: Discussion Papers.
    RePEc:yor:yorken:05/02.

    Full description at Econpapers || Download paper

  28. Export Response to the Reduction of Anti-Export Bias: Empirics from Bangladesh. (2002). Hossain, Mohammad ; Karunaratne, Neil D..
    In: Discussion Papers Series.
    RePEc:qld:uq2004:303.

    Full description at Econpapers || Download paper

  29. On Export-Led Growth: Is Manufacturing Exports a New Engine of Growth for Bangladesh?. (2001). Hossain, Mohammad.
    In: Discussion Papers Series.
    RePEc:qld:uq2004:297.

    Full description at Econpapers || Download paper

  30. Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test. (2001). Shively, Philip A..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:4:p:537-551.

    Full description at Econpapers || Download paper

  31. Do Excessive Wage Increases Raise Imports? Theory and Evidence. (2001). Moutos, Thomas ; Malley, Jim.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_467.

    Full description at Econpapers || Download paper

  32. The exact power envelope of tests for a unit root. (2000). King, M L.
    In: Discussion Paper Series In Economics And Econometrics.
    RePEc:stn:sotoec:0026.

    Full description at Econpapers || Download paper

  33. Do Excessive Wage Increases Raise Imports? Theory and Evidence. (2000). Moutos, Thomas ; Malley, Jim.
    In: Working Papers.
    RePEc:gla:glaewp:2000_19.

    Full description at Econpapers || Download paper

  34. Vertical Product Differentiation and the Import Demand Function: Theory and Evidence. (2000). Moutos, Thomas ; Malley, Jim.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_387.

    Full description at Econpapers || Download paper

  35. Nonstationary Panel Data Analysis: An Overview of Some Recent Developments. (1999). Phillips, Peter ; Moon, Hyungsik.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1221.

    Full description at Econpapers || Download paper

  36. Persistence and Turnover in Regional Unemployment Disparities. (1998). Tervo, Hannu.
    In: Regional Studies.
    RePEc:taf:regstd:v:32:y:1998:i:5:p:445-458.

    Full description at Econpapers || Download paper

  37. Real Wages and the Structure of Imports: Theory and Evidence. (1998). Moutos, Thomas ; Malley, Jim.
    In: Working Papers.
    RePEc:gla:glaewp:9821.

    Full description at Econpapers || Download paper

  38. Real Interest Rate Linkages: Testing for Common Trends and Cycles. (1997). Thomas, Ryland ; Pain, Darren.
    In: Bank of England working papers.
    RePEc:boe:boeewp:65.

    Full description at Econpapers || Download paper

  39. The quantity approach to financial integration: The Feldstein-Horioka criterion revisited. (1995). Lemmen, Jan ; Eijffinger, Sylvester.
    In: Open Economies Review.
    RePEc:kap:openec:v:6:y:1995:i:2:p:145-165.

    Full description at Econpapers || Download paper

  40. The demand for money in developing countries : assessing the role of financial innovation. (1991). Reinhart, Carmen ; De Gregorio, Jose ; Wickham, Peter ; Arrau, Patrici o.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:721.

    Full description at Econpapers || Download paper

  41. Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series. (1991). Stock, James.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0105.

    Full description at Econpapers || Download paper

  42. Unit Roots. (1991). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:998.

    Full description at Econpapers || Download paper

  43. Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models. (1991). Andrews, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:975.

    Full description at Econpapers || Download paper

  44. Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence. (1990). Stock, James ; Banerjee, Anindya ; Lumsdaine, Robin L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3510.

    Full description at Econpapers || Download paper

  45. Testing for a Unit Root in the Presence of Deterministic Trends. (1989). Schmidt, Peter ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:933.

    Full description at Econpapers || Download paper

  46. Testing for a Unit Root in the Presence of a Maintained Trend. (1988). Phillips, Peter ; Park, Joon ; Ouliaris, Sam.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:880.

    Full description at Econpapers || Download paper

  47. An analogue model of phase-averaging procedures. (1987). Hendry, David ; Ericsson, Neil ; Campos, Julia .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:303.

    Full description at Econpapers || Download paper

  48. Testing for Cointegration Using Principal Component Measures. (1987). Phillips, Peter ; Ouliaris, Sam.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:809r.

    Full description at Econpapers || Download paper

  49. Time Series Regression with a Unit Root. (1986). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:740r.

    Full description at Econpapers || Download paper

  50. Understanding Spurious Regressions in Econometrics. (1985). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:757.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-05-05 12:34:27 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2024. Contact: Jose Manuel Barrueco.