All Outputs (2)

Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts (2025)
Journal Article
Harvey, D. I., Leybourne, S. J., Tatlow, B. S., & Zu, Y. (2025). Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts. Oxford Bulletin of Economics and Statistics, https://doi.org/10.1111/obes.12668

This article considers the issue of testing for an explosive bubble in financial time series in the presence of deterministic level shifts. We demonstrate that the sign-based variants of the Phillips-Shi-Yu test retain their asymptotic validity in th... Read More about Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts.

Real-time monitoring procedures for early detection of bubbles (2025)
Journal Article
Whitehouse, E., Harvey, D., & Leybourne, S. (2025). Real-time monitoring procedures for early detection of bubbles. International Journal of Forecasting, 41(3), 1260-1277. https://doi.org/10.1016/j.ijforecast.2024.12.005

Asset price bubbles and crashes can have severe consequences for the stability of financial and economic systems. Policymakers require timely identification of such bubbles in order to respond to their emergence. In this paper we propose new economet... Read More about Real-time monitoring procedures for early detection of bubbles.