Tests for explosive financial bubbles in the presence of non-stationary volatility
This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive financial bubbles based on recursive right-tailed Dickey–Fuller-type unit root tests proposed by Phillips, Wu and Yu (2011). We show that, in this situation, their supr...
| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Elsevier
2015
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32654/ |