Testing explosive bubbles with time-varying volatility
(2018)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2019). Testing explosive bubbles with time-varying volatility. Econometric Reviews, 38(10), 1131-1151. https://doi.org/10.1080/07474938.2018.1536099
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 be... Read More about Testing explosive bubbles with time-varying volatility.