Testing explosive bubbles with time-varying volatility

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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...

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Bibliographic Details
Main Authors:	Harvey, David I., Leybourne, Stephen J., Zu, Yang
Format:	Article
Language:	English
Published:	Taylor & Francis 2018
Subjects:	Rational bubble; Explosive autoregression; Time-varying volatility; Weighted least squares; Right-tailed unit root testing
Online Access:	https://eprints.nottingham.ac.uk/54702/

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