Skip to main content

Research Repository

Advanced Search

DAVID HARVEY's 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.