Standard

Time-Transformed Test for Bubbles under Non-stationary Volatility. / Kurozumi, Eiji; Скроботов, Антон Андреевич; Tsarev, Alexey.

в: Journal of Financial Econometrics, 23.04.2022.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

Harvard

Kurozumi, E, Скроботов, АА & Tsarev, A 2022, 'Time-Transformed Test for Bubbles under Non-stationary Volatility', Journal of Financial Econometrics. https://doi.org/10.1093/jjfinec/nbac004

APA

Kurozumi, E., Скроботов, А. А., & Tsarev, A. (2022). Time-Transformed Test for Bubbles under Non-stationary Volatility. Journal of Financial Econometrics. https://doi.org/10.1093/jjfinec/nbac004

Vancouver

Kurozumi E, Скроботов АА, Tsarev A. Time-Transformed Test for Bubbles under Non-stationary Volatility. Journal of Financial Econometrics. 2022 Апр. 23. https://doi.org/10.1093/jjfinec/nbac004

Author

Kurozumi, Eiji ; Скроботов, Антон Андреевич ; Tsarev, Alexey. / Time-Transformed Test for Bubbles under Non-stationary Volatility. в: Journal of Financial Econometrics. 2022.

BibTeX

@article{c1f34fe8075e4fe7b2860b11b7370112,
title = "Time-Transformed Test for Bubbles under Non-stationary Volatility",
abstract = "This paper is devoted to testing for bubbles under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips, Wu, and Yu (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under the null hypothesis and its limiting distribution coincides with that of the standard test under homoskedasticity, so that the test does not require computationally extensive methods for inference. Appealing finite sample properties are demonstrated through Monte-Carlo simulations. An empirical application demonstrates that the upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change.",
author = "Eiji Kurozumi and Скроботов, {Антон Андреевич} and Alexey Tsarev",
year = "2022",
month = apr,
day = "23",
doi = "10.1093/jjfinec/nbac004",
language = "English",
journal = "Journal of Financial Econometrics",
issn = "1479-8409",
publisher = "Oxford University Press",

}

RIS

TY - JOUR

T1 - Time-Transformed Test for Bubbles under Non-stationary Volatility

AU - Kurozumi, Eiji

AU - Скроботов, Антон Андреевич

AU - Tsarev, Alexey

PY - 2022/4/23

Y1 - 2022/4/23

N2 - This paper is devoted to testing for bubbles under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips, Wu, and Yu (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under the null hypothesis and its limiting distribution coincides with that of the standard test under homoskedasticity, so that the test does not require computationally extensive methods for inference. Appealing finite sample properties are demonstrated through Monte-Carlo simulations. An empirical application demonstrates that the upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change.

AB - This paper is devoted to testing for bubbles under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips, Wu, and Yu (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under the null hypothesis and its limiting distribution coincides with that of the standard test under homoskedasticity, so that the test does not require computationally extensive methods for inference. Appealing finite sample properties are demonstrated through Monte-Carlo simulations. An empirical application demonstrates that the upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change.

UR - https://www.mendeley.com/catalogue/4652ba8e-fabe-3716-9c61-d9de9c2e2624/

U2 - 10.1093/jjfinec/nbac004

DO - 10.1093/jjfinec/nbac004

M3 - Article

JO - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

SN - 1479-8409

ER -

ID: 94525918