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• W2203232687 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" @default.
• W2203232687 created "2016-06-24" @default.
• W2203232687 creator A5033765988 @default.
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• W2203232687 date "2013-07-11" @default.
• W2203232687 modified "2023-09-25" @default.
• W2203232687 title "Testing for multiple bubbles with daily data" @default.
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• W2203232687 hasPublicationYear "2013" @default.
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