All Outputs (2)

Real‐Time Detection of Regimes of Predictability in the U.S. Equity Premium (2020)
Journal Article
Harvey, D. I., Leybourne, S. J., Sollis, R., & Taylor, A. R. (2021). Real‐Time Detection of Regimes of Predictability in the U.S. Equity Premium. Journal of Applied Econometrics, 36(1), 45-70. https://doi.org/10.1002/jae.2794

We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust) regression t-statistics for predictability applied over relatively short tim... Read More about Real‐Time Detection of Regimes of Predictability in the U.S. Equity Premium.

Date-stamping multiple bubble regimes (2020)
Journal Article
Harvey, D. I., Leybourne, S. J., & Whitehouse, E. J. (2020). Date-stamping multiple bubble regimes. Journal of Empirical Finance, 58, 226-246. https://doi.org/10.1016/j.jempfin.2020.06.004

Identifying the start and end dates of explosive bubble regimes has become a prominent issue in the econometric literature. Recent research has demonstrated the advantage of a model-based minimum sum of squared residuals estimator, combined with Baye... Read More about Date-stamping multiple bubble regimes.