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Testing for bubbles and change-points

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  • Kirman, Alan
  • Teyssiere, Gilles

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 29 (2005)
Issue (Month): 4 (April)
Pages: 765-799

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Handle: RePEc:eee:dyncon:v:29:y:2005:i:4:p:765-799

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References

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  26. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
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  47. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, vol. 108(1), pages 137-56, February.
  48. Lavielle, Marc, 1999. "Detection of multiple changes in a sequence of dependent variables," Stochastic Processes and their Applications, Elsevier, vol. 83(1), pages 79-102, September.
  49. Meese, Richard A, 1986. "Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?," Journal of Political Economy, University of Chicago Press, vol. 94(2), pages 345-73, April.
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Cited by:
  1. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany.
  2. Alan Kirman, 2006. "Heterogeneity in Economics," Journal of Economic Interaction and Coordination, Springer, vol. 1(1), pages 89-117, May.
  3. M. Kabir Hassan & Jung Suk-Yu, 2007. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets," NFI Working Papers 2007-WP-31, Indiana State University, Scott College of Business, Networks Financial Institute.
  4. Chen, Zhiping & Duan, Qihong, 2011. "New models of trader beliefs and their application for explaining financial bubbles," Economic Modelling, Elsevier, vol. 28(5), pages 2215-2227, September.

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