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Evidence of nonlinear speculative bubbles in pacific-rim stock markets

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  • Ahmed, Ehsan
  • Barkley Rosser, J. Jr.
  • Uppal, Jamshed Y.

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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 39 (1999)
Issue (Month): 1 ()
Pages: 21-36

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Handle: RePEc:eee:quaeco:v:39:y:1999:i:1:p:21-36

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Web page: http://www.elsevier.com/locate/inca/620167

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References

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  1. C. Gilles & S.F. Leroy, 1989. "Bublles and Charges," Carleton Economic Papers 89-05, Carleton University, Department of Economics, revised May 1992.
    • Gilles, Christian & LeRoy, Stephen F, 1992. "Bubbles and Charges," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 323-39, May.
  2. De Long, J Bradford, et al, 1991. "The Survival of Noise Traders in Financial Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 1-19, January.
  3. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
  4. Bhattacharyya, Sugato & Lipman, Barton L, 1995. "Ex ante versus Interim Rationality and the Existence of Bubbles," Economic Theory, Springer, vol. 6(3), pages 469-94, November.
  5. Gu, Mu, 1993. "An empirical examination of the deterministic component in stock price volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 239-252, October.
  6. Anthony J. Richards, 1996. "Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Markets Differ?," IMF Staff Papers, Palgrave Macmillan, vol. 43(3), pages 461-501, September.
  7. Jeffrey A. Frankel, 1985. "The Dazzling Dollar," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 16(1), pages 199-217.
  8. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
  9. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-81, September.
  10. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  11. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
  12. Ehsan Ahmed & J. Rosser & Richard Sheehan, 1989. "A comparison of national and international aggregate supply and demand var models: The United States, Japan and the European economic community," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 252-272, June.
  13. Allen, Franklin & Gorton, Gary, 1993. "Churning Bubbles," Review of Economic Studies, Wiley Blackwell, vol. 60(4), pages 813-36, October.
  14. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
  15. Ahmed, Ehsan & Rosser, J. Jr. & Sheehan, Richard G., 1988. "A global model of OECD aggregate supply and demand using vector autoregressive techniques," European Economic Review, Elsevier, vol. 32(9), pages 1711-1729, November.
  16. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  17. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, EconWPA.
  18. Anthony J. Richards, 1996. "Volatility and Predictability in National Stock Markets," IMF Working Papers 96/29, International Monetary Fund.
  19. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  20. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
  21. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
  22. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
  23. Gu, M., 1993. "An Empirical Examination of the Deterministic Component in Stock price Volatility," Papers 9308, Southern California - Department of Economics.
  24. Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 745-70, August.
  25. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 19-37, January.
  26. van Norden, Simon & Schaller, Huntley, 1993. "The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 505-10, August.
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