Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?

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...

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Bibliographic Details
Main Authors: Hu, Y., Oxley, Leslie
Format: Journal Article
Published: Elsevier 2018
Online Access:http://hdl.handle.net/20.500.11937/66887

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