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 · 34 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Market Dynamics and Volatility #Financial Risk and Volatility Modeling

paper · doi:10.1111/iere.12132

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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