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- W1997244101 abstract "Abstract Increased volatility of many stock markets in recent years has sometimes been associated with rapid increases or decreases in asset values that may contain elements of speculative bubbles not justified by the underlying fundamentals. This paper studies the behavior of daily stock returns from ten pacific-rim countries by using a regime switching model to detect trends. Residuals from a VAR model of daily stock indices and presumed fundamentals like exchange rates, Far East and the World stock indices used in a regime switching model point to the existence of bubbles. The ARCH and BDS statistics also indicate strong evidence of non-linearities in all of these countries." @default.
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- W1997244101 date "1999-03-01" @default.
- W1997244101 modified "2023-09-25" @default.
- W1997244101 title "Evidence of nonlinear speculative bubbles in pacific-rim stock markets" @default.
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- W1997244101 doi "https://doi.org/10.1016/s1062-9769(99)80002-7" @default.
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