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Asset Price Volatility, Bubbles, and Process Switching

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. Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009. "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
  3. Tabellini, Guido, 1988. "Learning and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(2), pages 243-250, June.
  4. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
  5. Lewellen, Jonathan, 2003. "Predicting Returns With Financial Ratios," Working papers 4374-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  6. Kanta Matsuura, 2003. "Digital Security Tokens and Their Derivatives," Netnomics, Springer, vol. 5(2), pages 161-179, November.
  7. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  8. H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Working Papers 202402, University of Macau, Faculty of Business Administration.
  9. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-251, May-June.
  10. Robert P. Flood & Robert J. Hodrick & Paul Kaplan, 1986. "An Evaluation of Recent Evidence on Stock Market Bubbles," NBER Working Papers 1971, National Bureau of Economic Research, Inc.
  11. Chaim, Pedro & Laurini, Márcio P., 2019. "Is Bitcoin a bubble?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 222-232.
  12. N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 455-477.
  13. 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.
  14. Miller, M. & Weller, P. & Williamson, J., 1989. "The Stabilizing Properties Of Target Zones," The Warwick Economics Research Paper Series (TWERPS) 318, University of Warwick, Department of Economics.
  15. Rotermann, Benedikt & Wilfling, Bernd, 2014. "Periodically collapsing Evans bubbles and stock-price volatility," Economics Letters, Elsevier, vol. 123(3), pages 383-386.
  16. Dmitry Kulikov, 2012. "Testing for Rational Speculative Bubbles on the Estonian Stock Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 4(1).
  17. Ajwa, Martine Therese, 1995. "Technical trading patterns: can they truly predict price movements and can they be exploited for excess returns?," ISU General Staff Papers 1995010108000011754, Iowa State University, Department of Economics.
  18. Cretí, Anna & Joëts, Marc, 2017. "Multiple bubbles in the European Union Emission Trading Scheme," Energy Policy, Elsevier, vol. 107(C), pages 119-130.
  19. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  20. Hsiao-Jung Teng & Chin-Oh Chang & Ming-Chi Chen, 2017. "Housing bubble contagion from city centre to suburbs," Urban Studies, Urban Studies Journal Limited, vol. 54(6), pages 1463-1481, May.
  21. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series 1997-49, Board of Governors of the Federal Reserve System (U.S.).
  22. Hooker, Mark A., 2000. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 583-600, August.
  23. Nathan Burks & Adetokunbo Fadahunsi & Ann Marie Hibbert, 2021. "Financial Contagion: A Tale of Three Bubbles," JRFM, MDPI, vol. 14(5), pages 1-14, May.
  24. Nobuhiro Kiyotaki, 1990. "Learning and the Value of the Firm," NBER Working Papers 3480, National Bureau of Economic Research, Inc.
  25. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  26. Chen, Shyh-Wei & Shen, Chung-Hua, 2004. "GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 67(3), pages 201-216.
  27. 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.
  28. Egger, Peter & Radulescu, Doina, 2014. "A test of the Bolton–Scheinkman–Xiong hypothesis of how speculation affects the vesting time of options granted to directors," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 511-519.
  29. 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.
  30. Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
  31. West, Kenneth D., 1987. "A standard monetary model and the variability of the deutschemark-dollar exchange rate," Journal of International Economics, Elsevier, vol. 23(1-2), pages 57-76, August.
  32. Rangan Gupta & Jacobus Nel & Joshua Nielsen & Christian Pierdzioch, 2023. "Stock Market Volatility and Multi-Scale Positive and Negative Bubbles," Working Papers 202310, University of Pretoria, Department of Economics.
  33. 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.
  34. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
  35. Kanas, Angelos, 2005. "Nonlinearity in the stock price-dividend relation," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 583-606, June.
  36. Enrique Sentana, 1993. "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 401-420, September.
  37. Márcio P. Laurini & Pedro Chaim, 2021. "Brazilian stock market bubble in the 2010s," SN Business & Economics, Springer, vol. 1(1), pages 1-19, January.
  38. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," Documentos de Trabajo 11028, Universidad del Valle, CIDSE.
  39. Akaki Tsomaia, 2021. "Asset bubbles, financial sector, and current challenges to regulatory framework," International Economics and Economic Policy, Springer, vol. 18(4), pages 901-925, October.
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