Tests for an end-of-sample bubble in financial time series

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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...

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Bibliographic Details
Main Authors:	Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, Robert
Format:	Article
Published:	Taylor & Francis 2017
Subjects:	Rational bubble; Explosive autoregression; Right-tailed unit root testing: Sub-sampling
Online Access:	https://eprints.nottingham.ac.uk/37775/

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