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

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