Dating mildly explosive bubbles using a rolling window
Chong, Jieyang (2016) Dating mildly explosive bubbles using a rolling window. Masters by Research thesis, Queensland University of Technology.
Recent research on date-stamping asset pricing bubbles has focussed on the use of recursive and rolling-recursive regressions. This thesis evaluates a simpler and perhaps neglected approach to the date-stamping of bubbles – the rolling window unit root testing approach – and provides a comprehensive comparison of its performance against the recursive and rolling-recursive methods. The rolling window approach is easier to implement than the recursive and rolling-recursive methods in that it is computationally less demanding and does not require non-standard limit theory. Results of simulation experiments as well as empirical applications suggest that the rolling window approach is superior to the two alternative methods.
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|Item Type:||QUT Thesis (Masters by Research)|
|Supervisor:||Hurn, Stan, Zhu, Min, & Liao, Yin|
|Keywords:||Financial bubble, Date-stamping strategy, Multiple bubbles, Mildly explosive bubbles, Monte Carlo simulations, Rolling windows|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Institution:||Queensland University of Technology|
|Deposited On:||11 Oct 2016 00:55|
|Last Modified:||11 Oct 2016 00:55|
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