Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

2013/09/01 by Peter C.B. Phillips, Peter C. B. Phillips, Shuping Shi +1 · 259 citations
Economics, Econometrics and Finance · Engineering · #Actuarial science #Asset (computer security) #Augmented Dickey–Fuller test #CUSUM #Circumstantial evidence #Complex Systems and Time Series Analysis #Computer science #Econometrics #Economic bubble #Economics #Engineering #Financial Risk and Volatility Modeling #Granger causality #History #Macroeconomics #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Operations management #Operations research #Power (physics) #Range (aeronautics) #Sample (material) #Stock market

paper · doi:10.1111/iere.12132

published in Singapore Management University Institutional Knowledge (InK) (Singapore Management University) 56(4), 1043-1078 (Singapore Management University)

openalex publication_date 2013/09/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/15

Abstract

Ministry of Education, Singapore under its Academic Research Funding Tier 2

Citations

• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*

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