This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.
Original languageEnglish
JournalDependence Modeling
Volume11
Issue number1
Early online date21 Feb 2023
DOIs
StatePublished - 2023

    Research areas

  • rational bubble, testing for explosive bubble, explosive autoregression, time-varying volatility, right-tailed unit root testing

ID: 103307863