All Outputs (2)

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.

Adaptive wild bootstrap tests for a unit root with non-stationary volatility (2018)
Journal Article
Boswijk, P., & Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility. Econometrics Journal, 21(2), 87-113. https://doi.org/10.1111/ectj.12100

© 2017 The Authors. The Econometrics Journal published by John Wiley & Sons Ltd on behalf of Royal Economic Society. Recent research has emphasized that permanent changes in the innovation variance (caused by structural shifts or an integrated vola... Read More about Adaptive wild bootstrap tests for a unit root with non-stationary volatility.