Comparing Tests for Identification of Bubbles

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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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Pages1-74
Number of pages74
Publication statusPublished - 11 Oct 2019
SeriesCREATES Research Papers
Number2019-16

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