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Citations for "Econometric Tests of Asset Price Bubbles: Taking Stock"

by Refet Gurkaynak

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  1. Brian Lucey & Fergal A. O'connor, 2012. "Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models," The Institute for International Integration Studies Discussion Paper Series iiisdp418, IIIS.
  2. Wanfeng Yan & Ryan Woodard & Didier Sornette, 2010. "Diagnosis and Prediction of Market Rebounds in Financial Markets," Papers 1003.5926, arXiv.org, revised Mar 2011.
  3. Beat Hintermann, 2009. "Allowance Price Drivers in the First Phase of the EU ETS," CEPE Working paper series 09-63, CEPE Center for Energy Policy and Economics, ETH Zurich.
  4. Christophe André, 2010. "A Bird's Eye View of OECD Housing Markets," OECD Economics Department Working Papers 746, OECD Publishing.
  5. Esteban Gómez & Sandra Rozo, 2008. "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  6. Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers 31-2012, Singapore Management University, School of Economics.
  7. Luboš Komárek & Ivana Kubicová, 2011. "Methods of Identification Asset Price Bubbles In the Czech Economy," Politická ekonomie, University of Economics, Prague, vol. 2011(2), pages 164-183.
  8. Alan G. Ahearne & John Ammer & Brian M. Doyle & Linda S. Kole & Robert F. Martin, 2005. "Monetary Policy and House Prices: A Cross-Country Study," Working Papers Central Bank of Chile 344, Central Bank of Chile.
  9. Zhi-Qiang Jiang & Wei-Xing Zhou & D. Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, . "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers CCSS-09-008, ETH Zurich, Chair of Systems Design.
  10. Stijn Claessens & M. Ayhan Kose, 2013. "Financial Crises Explanations, Types, and Implications," IMF Working Papers 13/28, International Monetary Fund.
  11. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  12. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
  13. Charles Ka Yui Leung & Patrick Wai Yin Cheung & Edward Chi Ho Tang, 2013. "Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis?," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 68-118.
  14. Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, 2009. "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Papers 0909.1007, arXiv.org, revised Oct 2009.
  15. Kevin J. Lansing, 2007. "Rational and near-rational bubbles without drift," Working Paper Series 2007-10, Federal Reserve Bank of San Francisco.
  16. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
  17. Evridiki Tsounta, 2009. "Is the Canadian Housing Market Overvalued? A+L4242 Post-Crisis Assessment," IMF Working Papers 09/235, International Monetary Fund.
  18. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500," Working Papers 04-2013, Singapore Management University, School of Economics.
  19. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
  20. Zhiwei Xu & Pengfei Wang & Jianjun Miao, 2013. "A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles," 2013 Meeting Papers 167, Society for Economic Dynamics.
  21. Berlemann, Michael & Freese, Julia & Knoth, Sven, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper 124/2012, Helmut Schmidt University, Hamburg.
  22. Bond, Derek & Gallagher, Emer & Ramsey, Elaine, 2012. "A preliminary investigation of northern Ireland's housing market dynamics," MPRA Paper 39806, University Library of Munich, Germany.
  23. Efthymios Pavlidis & Ivan Paya & David Peel, 2012. "A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation," Working Papers 18599597, Lancaster University Management School, Economics Department.
  24. Gordon Menzies & Ron Bird & Peter B. Dixon & Maureen T. Rimmer, 2011. "Asset Price Regulators, Unite: You have the Macroeconomy to Win and the Microeconomic Losses are Small," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 449-464, 09.
  25. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers CoFie-03-2011, Sim Kee Boon Institute for Financial Economics.
  26. Jiang, Zhi-Qiang & Zhou, Wei-Xing & Sornette, Didier & Woodard, Ryan & Bastiaensen, Ken & Cauwels, Peter, 2010. "Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 149-162, June.
  27. Li Lin & Didier Sornette, 2009. "Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times," Papers 0911.1921, arXiv.org.
  28. J. Rodrigo Fuentes S. & Marcelo Ochoa C., 2007. "Política Monetaria, Precios de Activos y Estabilidad Financiera: Una Revisión de la Literatura," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(3), pages 115-127, December.
  29. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(S5), pages 64-75, November.
  30. Andreas H\"usler & Didier Sornette & Cars H. Hommes, 2012. "Super-exponential bubbles in lab experiments: evidence for anchoring over-optimistic expectations on price," Papers 1205.0635, arXiv.org.
  31. Luis M. Cubeddu & Camilo Ernesto Tovar Mora & Evridiki Tsounta, 2012. "Latin America," IMF Working Papers 12/193, International Monetary Fund.
  32. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
  33. Abdullah Yavas, 2013. "Asset Price Bubbles and Monetary Policy," Working Papers 102013, Hong Kong Institute for Monetary Research.
  34. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
  35. Dirk G Baur & Kristoffer Glover, 2012. "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  36. Renatas Kizys & Christian Pierdzioch, 2011. "Contagious speculative bubbles: A note on the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages A296.
  37. Campbell, Gareth, 2010. "Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania," MPRA Paper 21821, University Library of Munich, Germany.
  38. Christophe Blot, 2006. "Peut-on parler de bulle sur le marché immobilier au Luxembourg ?," BCL working papers 20, Central Bank of Luxembourg.
  39. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
  40. Yan, Wanfeng & Woodard, Ryan & Sornette, Didier, 2012. "Diagnosis and prediction of rebounds in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1361-1380.
  41. Matthew S. Yiu & Lu Jin, 2012. "Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach," Working Papers 012012, Hong Kong Institute for Monetary Research.
  42. Gregoriou, Andros & Kontonikas, Alexandros, 2010. "The long-run relationship between stock prices and goods prices: New evidence from panel cointegration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 166-176, April.
  43. Lubos Komarek & Ivana Kubicová, 2011. "The Classification and Identification of Asset Price Bubbles," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(1), pages 34-48, January.
  44. Matthew Greenwood-Nimmo & Artur Tarassow, 2013. "A Macroeconometric Assessment of Minsky’s Financial Instability Hypothesis," Macroeconomics and Finance Series 201306, Hamburg University, Department Wirtschaft und Politik.
  45. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs E:47/2012, Bank of Finland.
  46. James Hansen, 2011. "Does Equity Mispricing Influence Household and Firm Decisions?," RBA Research Discussion Papers rdp2011-06, Reserve Bank of Australia.