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Testing for explosive bubbles: a review

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  • Anton Skrobotov

Abstract

This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.

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  • Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
    • Handle: RePEc:arx:papers:2207.08249
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