Real-time monitoring for explosive financial bubbles

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Real-time monitoring for explosive financial bubbles

We propose new methods for the real-time detection of explosive bubbles in financial time series. Most extant methods are constructed for a fixed sample of data and, as such, are only appropriate when applied as one-shot tests. Sequential application of these, declaring the presence of a bubble as s...

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Bibliographic Details
Main Authors:	Astill, Sam, Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert
Format:	Article
Published:	Wiley 2018
Subjects:	Rational bubble; Explosive autoregression; Real-time monitoring procedure; Subsampling
Online Access:	https://eprints.nottingham.ac.uk/52265/

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