Standard

On the asymptotic behavior of bubble date estimators. / Kurozumi, Eiji ; Skrobotov, Anton .

In: Journal of Time Series Analysis, 13.11.2022.

Research output: Contribution to journal › Article › peer-review

Harvard

Kurozumi, E & Skrobotov, A 2022, 'On the asymptotic behavior of bubble date estimators', Journal of Time Series Analysis. https://doi.org/10.1111/jtsa.12672

APA

Kurozumi, E., & Skrobotov, A. (2022). On the asymptotic behavior of bubble date estimators. Journal of Time Series Analysis. https://doi.org/10.1111/jtsa.12672

Vancouver

Kurozumi E, Skrobotov A. On the asymptotic behavior of bubble date estimators. Journal of Time Series Analysis. 2022 Nov 13. https://doi.org/10.1111/jtsa.12672

Author

Kurozumi, Eiji ; Skrobotov, Anton . / On the asymptotic behavior of bubble date estimators. In: Journal of Time Series Analysis. 2022.

BibTeX

@article{f02452c62fc4486f9968d615199cd368,
title = "On the asymptotic behavior of bubble date estimators",
abstract = "In this study, we extend the three-regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The consistency allows us to split the sample before and after the date of collapse and to consider the estimation of the date of exuberation and date of recovery separately. We have also found that the limiting behavior of the recovery date varies depending on the extent of explosiveness and recovering.",
author = "Eiji Kurozumi and Anton Skrobotov",
year = "2022",
month = nov,
day = "13",
doi = "https://doi.org/10.1111/jtsa.12672",
language = "English",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",

}

RIS

TY - JOUR

T1 - On the asymptotic behavior of bubble date estimators

AU - Kurozumi, Eiji

AU - Skrobotov, Anton

PY - 2022/11/13

Y1 - 2022/11/13

N2 - In this study, we extend the three-regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The consistency allows us to split the sample before and after the date of collapse and to consider the estimation of the date of exuberation and date of recovery separately. We have also found that the limiting behavior of the recovery date varies depending on the extent of explosiveness and recovering.

AB - In this study, we extend the three-regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The consistency allows us to split the sample before and after the date of collapse and to consider the estimation of the date of exuberation and date of recovery separately. We have also found that the limiting behavior of the recovery date varies depending on the extent of explosiveness and recovering.

U2 - https://doi.org/10.1111/jtsa.12672

DO - https://doi.org/10.1111/jtsa.12672

M3 - Article

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

ER -

ID: 103307886