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- W3122073063 abstract "The existence of periodically collapsing bubbles in stock markets, applying the Enders-Siklos momentum threshold autoregressive model, is empirically investigated in this paper. Using this non-linear time series technique, we are now able to analyse bubble driven run-ups in stock prices followed by a crash in a cointegration framework with asymmetric adjustment. Therefore, applying this technique makes possible a deeper insight into the behavior of stock prices than was previously possible using conventional cointegration tests. Although the results from the subsample 1871 - 1995 cannot be interpreted in favor of the existence of periodically collapsing bubbles in the US stock market, the findings from the 1871 - 2001 sample period indicate their presence." @default.
- W3122073063 created "2021-02-01" @default.
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- W3122073063 date "2003-12-08" @default.
- W3122073063 modified "2023-09-23" @default.
- W3122073063 title "Periodically Collapsing Bubbles in the US Stock Market" @default.
- W3122073063 hasPublicationYear "2003" @default.
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