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 |
| _version_ | 1848761418669621248 |
|---|---|
| author | Hu, Y. Oxley, Leslie |
| author_facet | Hu, Y. Oxley, Leslie |
| author_sort | Hu, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 the first time. The timings of these bubble episodes show signs of possible contagion. |
| first_indexed | 2025-11-14T10:31:22Z |
| format | Journal Article |
| id | curtin-20.500.11937-66887 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:31:22Z |
| publishDate | 2018 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-668872018-07-31T00:06:25Z Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? Hu, Y. Oxley, Leslie 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 the first time. The timings of these bubble episodes show signs of possible contagion. 2018 Journal Article http://hdl.handle.net/20.500.11937/66887 10.1016/j.econlet.2017.09.004 Elsevier restricted |
| spellingShingle | Hu, Y. Oxley, Leslie Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| title | Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| title_full | Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| title_fullStr | Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| title_full_unstemmed | Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| title_short | Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| title_sort | do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? |
| url | http://hdl.handle.net/20.500.11937/66887 |