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Econometric tests for nonlinear exuberance in economics and finance

Shi, Shu-Ping


Exuberant behaviors (bubbles) in economic and financial activities have long been a concern in the literature. In this thesis, we focus on developing econometric tests to detect the existence and to identify the origination and termination dates of this behavior. These econometric tests generalize two existing tests, namely the Markov-switching unit root test of Hall, Psaradakis and Sola (1999, HPS hereafter) and the sup Augmented Dickey-Fuller (ADF) test of Phillips, Wu and Yu (2011, PWY...[Show more]

CollectionsOpen Access Theses
Date published: 2011
Type: Thesis (PhD)
DOI: 10.25911/5d626d7a7b4e4
Access Rights: Open Access


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