Testing for multiple bubbles with daily data

A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency financial...

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Detalles Bibliográficos
Autor principal: Uribe Gil, Jorge Mario - Autor/a
Formato: Text draft Doc. de trabajo / Informes
Lenguaje:Eng
Publicado: Universidad del Valle - Cidse 2013
Materias:
Economy
Econometrics
Econometric analysis
Econometric models
Financial policy
Financial aspects
Acceso en línea:http://biblioteca.clacso.edu.ar/gsdl/collect/co/co-006/index/assoc/D8822/doctra150.pdf
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-D8822
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
language Eng
topic Economy
Econometrics
Econometric analysis
Econometric models
Financial policy
Financial aspects
spellingShingle Economy
Econometrics
Econometric analysis
Econometric models
Financial policy
Financial aspects
Uribe Gil, Jorge Mario - Autor/a
Testing for multiple bubbles with daily data
topic_facet Economy
Econometrics
Econometric analysis
Econometric models
Financial policy
Financial aspects
description A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency financial time series such as leptokurtosis, conditional heteroskedasticity and heavy tails. The approach is very pragmatic and relies upon an analysis of the integration order of the analyzed series. This paper presents an applicationof the method to the North American stock market and the findings concerning the origination and collapsing of dates for the bubbles are consistent with those identified through the application of the previous theoretical literature.
format Text
draft
Doc. de trabajo / Informes
author Uribe Gil, Jorge Mario - Autor/a
author_facet Uribe Gil, Jorge Mario - Autor/a
author_sort Uribe Gil, Jorge Mario - Autor/a
title Testing for multiple bubbles with daily data
title_short Testing for multiple bubbles with daily data
title_full Testing for multiple bubbles with daily data
title_fullStr Testing for multiple bubbles with daily data
title_full_unstemmed Testing for multiple bubbles with daily data
title_sort testing for multiple bubbles with daily data
publisher Universidad del Valle - Cidse
publishDate 2013
url http://biblioteca.clacso.edu.ar/gsdl/collect/co/co-006/index/assoc/D8822/doctra150.pdf
work_keys_str_mv AT uribegiljorgemarioautora testingformultiplebubbleswithdailydata
bdutipo_str Repositorios
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