Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility
(2019)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2020). Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility. Econometric Theory, 36(1), 122-169. https://doi.org/10.1017/S0266466619000057
This paper considers the problem of testing for an explosive bubble in …nancial data in the presence of time-varying volatility. We propose a sign-based variant of the Phillips, Shi and Yu (2015) test. Unlike the original test, the sign-based test do... Read More about Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility.