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Bootstrapping asset price bubble

Gutierrez, Luciano (2011) Bootstrapping asset price bubble. Economics Modelling, Vol. 28 (6), p. 2488-2493. ISSN 0264-9993. eISSN 1873-6122. Article.

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DOI: 10.1016/j.econmod.2011.07.009


In this paper we propose a method that allows to test for asset price bubbles. The method is mainly based on a bootstrap methodology which helps to compute the finite sample probability distribution of the asymptotic tests which were recently proposed in Phillips et al. (2011) and Phillips and Yu (2009). We apply the method to the Nasdaq stock price index and Case-Shiller house price index. The results indicate that speculation was behind the upsurge in both asset prices.

Item Type:Article
ID Code:6380
Uncontrolled Keywords:Rational bubbles, bootstrap, nonstationary tests
Subjects:Area 07 - Scienze agrarie e veterinarie > AGR/01 Economia ed estimo rurale
Divisions:001 Università di Sassari > 01 Dipartimenti > Economia e sistemi arborei
Copyright Holders:© 2011 Elsevier
Deposited On:23 Aug 2011 11:03

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