Comparing Tests for Identification of Bubbles

Publikation: Working paperForskning

Dokumenter

  • rp19_16

    Forlagets udgivne version, 717 KB, PDF-dokument

This paper compares the log periodic power law (LPPL) and the supremum augmented Dickey Fuller (supremum ADF) procedures considering bubble detection and time stamping capabilities in a thorough analysis based on simulated data. A generalized formulation of the LPPL procedure is derived and analysed demonstrating performance improvements.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Sider1-74
Antal sider74
StatusUdgivet - 11 okt. 2019
SerietitelCREATES Research Papers
Nummer2019-16

    Forskningsområder

  • Rational bubbles, Explosive processes, Log periodic power law, critical points theory

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