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.

Abstract

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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21 since deposited on 11 Oct 2016
21 in the past twelve months

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ID Code: 98930
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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