Tests for an end-of-sample bubble in financial time series
In this paper we examine the issue of detecting explosive behaviour in economic and financial time series when an explosive episode is both ongoing at the end of the sample, and of finite length. We propose a testing strategy based on the sub-sampling method of Andrews (2003), in which a suitable te...
| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Taylor & Francis
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/37775/ |