التفاصيل البيبلوغرافية
| العنوان: |
Sup-ADF-style bubble detection methods under test |
| المؤلفون: |
Monschang, Verena, Wilfling, Bernd |
| بيانات النشر: |
ZBW - Leibniz-Informationszentrum Wirtschaft |
| سنة النشر: |
2019 |
| المجموعة: |
EconStor (German National Library of Economics, ZBW) |
| مصطلحات موضوعية: |
ddc:330, C15, C32, C58, G15, Stock markets, present-value model, rational bubble, explosiveness, SADF and GSADF tests, bubble detection, date-stamping |
| الوصف: |
In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal substantial size distortions under typical financial-market characteristics (like the empirically well-documented leverage effect). We consider the rational bubble specification suggested by Rotermann and Wiling (Applied Economics Letters 25:1091-1096, 2018) that is able to generate realistic stock-price dynamics (in terms of level trajectories and volatility paths). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have extremely low power under a wide range of bubble-parameter constellations. In an empirical analysis, we use NASDAQ data covering a time-span of 45 years and find that the outcomes of the bubble date-stamping procedure (based on the BSADF test) are sensitive to the data-frequency chosen by the econometrician. |
| نوع الوثيقة: |
conference object |
| اللغة: |
English |
| Relation: |
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: Econometrics; No. G08-V4; gbv-ppn:1733687203; http://hdl.handle.net/10419/203568; RePEc:zbw:vfsc19:203568 |
| الاتاحة: |
http://hdl.handle.net/10419/203568 |
| Rights: |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
| رقم الانضمام: |
edsbas.77EC52AC |
| قاعدة البيانات: |
BASE |