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Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility

Citations

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Cited by:

  1. Refet S. Gürkaynak, 2008. "Econometric Tests Of Asset Price Bubbles: Taking Stock," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
  2. Nélson Leitão Paes & Cássio Da Nóbrega Besarria & Marcelo Eduardo Alves Da Silva, 2018. "Bubbles In The Prices Of Housing? Evidence To Brazil?S Economy," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 118, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  3. 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.
  4. Hanxiong Zhang & Robert Hudson & Hugh Metcalf & Viktor Manahov, 2017. "Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models," Empirical Economics, Springer, vol. 53(2), pages 617-640, September.
  5. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  6. Fabozzi, Frank J. & Xiao, Keli, 2017. "Explosive rents: The real estate market dynamics in exuberance," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 100-107.
  7. Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013. "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, vol. 36(C), pages 491-502.
  8. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
  9. Qin XIAO & Randolph TAN GEE KWANG, 2010. "Kalman Filter Estimation of Property Price Bubbles in Seoul," EcoMod2004 330600164, EcoMod.
  10. Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  11. Esteban Gómez & Sandra Rozo, 2008. "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 26(56), pages 114-148, June.
  12. Charles Ka Yui Leung & Nan‐Kuang Chen, 2010. "Stock Price Volatility, Negative Autocorrelation And The Consumption–Wealth Ratio: The Case Of Constant Fundamentals," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 224-245, May.
  13. Sharma, Shahil & Escobari, Diego, 2018. "Identifying price bubble periods in the energy sector," Energy Economics, Elsevier, vol. 69(C), pages 418-429.
  14. Qin Xiao & Gee Kwang Randolph Tan, 2007. "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Urban Studies, Urban Studies Journal Limited, vol. 44(4), pages 865-888, April.
  15. 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.
  16. Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
  17. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
  18. Benedikt Rotermann & Bernd Wilfling, 2015. "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers 4015, Center for Quantitative Economics (CQE), University of Muenster.
  19. Chen, An-Sing & Cheng, Lee-Young & Cheng, Kuang-Fu, 2009. "Intrinsic bubbles and Granger causality in the S&P 500: Evidence from long-term data," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2275-2281, December.
  20. 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.
  21. Al-Anaswah, Nael & Wilfling, Bernd, 2011. "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1073-1086, May.
  22. Angelos Kanas & Yue Ma, 2004. "Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 237-250.
  23. Nuriddin Ikromov & Abdullah Yavas, 2012. "Cash Flow Volatility, Prices and Price Volatility: An Experimental Study," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 203-229, January.
  24. Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos, 2016. "Financial Bubble Detection : A Non-Linear Method with Application to S&P 500," MPRA Paper 74477, University Library of Munich, Germany.
  25. Paulo Horta, 2013. "Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis," CEFAGE-UE Working Papers 2013_12, University of Evora, CEFAGE-UE (Portugal).
  26. Kim, Bong Han & Min, Hong-Ghi, 2011. "Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach," Economic Modelling, Elsevier, vol. 28(3), pages 1415-1423, May.
  27. Saeed Rasekhi & Zahra Mila Elmi & Milad Shahrazi, 2016. "Price Bubbles Spillover among Asset Markets: Evidence from Iran," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 20(4), pages 501-523, Autumn.
  28. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2016. "Non-linearities in financial bubbles: Theory and Bayesian evidence from S&P500," Journal of Financial Stability, Elsevier, vol. 24(C), pages 61-70.
  29. Brian M. Lucey & Fergal A. O’Connor, 2013. "Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(3), pages 53-63, September.
  30. Lee, Ji Hyung & Phillips, Peter C.B., 2016. "Asset pricing with financial bubble risk," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 590-622.
  31. Vítor Caldeirinha & J. Augusto Felício & Andreia Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
  32. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Scientific Monographs, Bank of Finland, number 35/2006.
  33. Green, Christopher J. & Maggioni, Paolo & Murinde, Victor, 2000. "Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 577-601, April.
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