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Testing for bubbles and change-points

  • 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
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  12. KOKOSZKA, Piotr & TEYSSIÈRE, Gilles, 2002. "Change-point detection in GARCH models: asymptotic and bootstrap tests," CORE Discussion Papers 2002065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  19. KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002. "Microeconomic models for long-memory in the volatility of financial time series," CORE Discussion Papers 2002056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  26. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
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  29. Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
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  32. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(01), pages 3-22, February.
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  34. 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.
  35. Hamilton, James D. & Whiteman, Charles H., 1985. "The observable implications of self-fulfilling expectations," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 353-373, November.
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  37. Townsend, Robert M, 1983. "Forecasting the Forecasts of Others," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 546-88, August.
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  39. Woo, Wing Thye, 1987. "Some Evidence of Speculative Bubbles in the Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(4), pages 499-514, November.
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