This review discusses methods of testing for explosive bubbles in time series. A large
number of recently developed testing methods under various assumptions about innovation …

In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF),
generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests …

A stock price may face a bubble problem for a number of periods, but in the long run the
stock price is determined by its market fundamentals. This paper takes this possibility into …

We estimate the dynamics of a speculative bubble subject to a surviving and a collapsing
regime together with the dynamics of dividends and returns in a tractable state space …

Study of financial bubbles is the extremely important topic in the modern society. Their
formation and dramatic bursts are frequently considered to have a massive impact on most …

We propose a near-explosive random coefficient autoregressive model (NERC) to obtain
predictive probabilities of the apparition and devolution of bubbles. The distribution of the …

In this paper, a Markov regime-switching model with time-varying transition probabilities is
developed to identify asset price bubbles in the S&P 500 index. The model nests two …

This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset
pricing which accommodates both the fundamental asset value and the recurrent presence …

This study sets out to conduct an empirical analysis of the nature of bubbles in the Nigerian
Stock Exchange (NSE). The paper achieved this in three inter-related steps. In the first step …

POLICY IMPLICATIONS OF ASSET PRICE BUBBLES Andrew Hanson A dissertation
submitted to the faculty of the University of North Caro Page 1 POLICY IMPLICATIONS OF …