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Testing for multiple bubbles with daily data

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  • Uribe Gil, Jorge Mario

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Abstract

A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency financial time series such as leptokurtosis, conditional heteroskedasticity and heavy tails. The approach is very pragmatic and relies upon an analysis of the integration order of the analyzed series. This paper presents an applicationof the method to the North American stock market and the findings concerning the origination and collapsing

Suggested Citation

  • Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," DOCUMENTOS DE TRABAJO-CIDSE 011028, UNIVERSIDAD DEL VALLE - CIDSE.
  • Handle: RePEc:col:000149:011028
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    File URL: http://cms.univalle.edu.co/socioeconomia/media/files/Documento%20trabajo%20N%C2%B0%20150.pdf
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    References listed on IDEAS

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    Cited by:

    1. Leonardo Raffo López, 2015. "Law enforcement and drug trafficking networks: a simple model," DOCUMENTOS DE TRABAJO-CIDSE 013014, UNIVERSIDAD DEL VALLE - CIDSE.
    2. Uribe, Jorge & Fernández, Julián, 2014. "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, issue 81, pages 57-90, April.

    More about this item

    Keywords

    Burbujas; Economía; Medición;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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