Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?
Applying the methods of Phillips et al. (2015, PSY), while considering the possibility of non-stationary volatility (Harvey et al., 2016), evidence of exuberance in share prices is confirmed for the South Sea Company, and established for a number of other 18th century financial organisations, for th...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Elsevier
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/66887 |