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Testing for explosive bubbles: a review. / Skrobotov, Anton .

In: Dependence Modeling, Vol. 11, No. 1, 2023.

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

Harvard

Skrobotov, A 2023, 'Testing for explosive bubbles: a review', Dependence Modeling, vol. 11, no. 1. https://doi.org/10.1515/demo-2022-0152

APA

Skrobotov, A. (2023). Testing for explosive bubbles: a review. Dependence Modeling, 11(1). https://doi.org/10.1515/demo-2022-0152

Vancouver

Skrobotov A. Testing for explosive bubbles: a review. Dependence Modeling. 2023;11(1). https://doi.org/10.1515/demo-2022-0152

Author

Skrobotov, Anton . / Testing for explosive bubbles: a review. In: Dependence Modeling. 2023 ; Vol. 11, No. 1.

BibTeX

@article{b264f65c170e483288160021ab2e36b6,
title = "Testing for explosive bubbles: a review",
abstract = "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.",
keywords = "rational bubble, testing for explosive bubble, explosive autoregression, time-varying volatility, right-tailed unit root testing",
author = "Anton Skrobotov",
year = "2023",
doi = "10.1515/demo-2022-0152",
language = "English",
volume = "11",
journal = "Dependence Modeling",
issn = "2300-2298",
publisher = "De Gruyter",
number = "1",

}

RIS

TY - JOUR

T1 - Testing for explosive bubbles: a review

AU - Skrobotov, Anton

PY - 2023

Y1 - 2023

N2 - 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.

AB - 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.

KW - rational bubble

KW - testing for explosive bubble

KW - explosive autoregression

KW - time-varying volatility

KW - right-tailed unit root testing

UR - https://www.mendeley.com/catalogue/11a76932-f818-317a-bb3a-b4ac63abb7ef/

U2 - 10.1515/demo-2022-0152

DO - 10.1515/demo-2022-0152

M3 - Article

VL - 11

JO - Dependence Modeling

JF - Dependence Modeling

SN - 2300-2298

IS - 1

ER -

ID: 103307863