Testing explosive bubbles with time-varying volatility
This paper considers the problem of testing for an explosive bubble in financial data in the presence of time-varying volatility. We propose a weighted least squares-based variant of the Phillips, Wu and Yu (2011) test for explosive autoregressive behaviour. We find that such an approach has appeali...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis
2018
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/54702/ |