Econometric Tests of Asset Price Bubbles: Taking StockDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Social interaction - 32 pages |
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Page 9
... testing for bubbles . Flavin ( 1983 ) has shown that using the mean price as the terminal ex - post rational price biases the test towards rejection in small samples . Kleidon ( 1986 ) argues a subtler point : The variances in question ...
... testing for bubbles . Flavin ( 1983 ) has shown that using the mean price as the terminal ex - post rational price biases the test towards rejection in small samples . Kleidon ( 1986 ) argues a subtler point : The variances in question ...
Page 11
... tests It is clear from the discussion of the variance bounds tests that testing for the validity of the standard model and bubbles are related but different endeavors . For a ' test of bubbles , ' a bubble should at least be in the set ...
... tests It is clear from the discussion of the variance bounds tests that testing for the validity of the standard model and bubbles are related but different endeavors . For a ' test of bubbles , ' a bubble should at least be in the set ...
Page 18
... bubble it must have existed from the first day of trading . They see this as an argument to rule out rational bubbles , and propose a way to empirically test the absence of bubbles . Their test for bubbles ( 1988b ) allows for ...
... bubble it must have existed from the first day of trading . They see this as an argument to rule out rational bubbles , and propose a way to empirically test the absence of bubbles . Their test for bubbles ( 1988b ) allows for ...
Common terms and phrases
absence of bubbles Adam Copeland Andrew Cohen April arbitrage opportunities Asset Price Bubbles assumption Athanasios Orphanides August Bank Brian Sack Bt+1 bubble component bubble process bubble tests cointegration December Diba and Grossman differenced discount rate dividends and stock Driffill and Sola Driscoll econometric tests Economics Discussion Series Egon Zakrajsek Empirical equity prices estimate Euler equation Evans ex-post rational price Finance and Economics Froot and Obstfeld Gurkaynak Hao Zhou Hodrick Inflation integration/cointegration based tests Interest Rates Intrinsic bubbles July Kevin Moore market fundamental price Monetary Policy no-arbitrage nonlinear nonstationary Norman Morin null hypothesis October paper presence of bubbles present value model prices and dividends rational bubble Refet regime switching fundamentals Regressions root tests September 2003 Shiller specification tests standard model stock price bubble Takeshi Kimura test of bubbles Tests of Asset Tim Bollerslev unit root unit root tests unobserved fundamentals variance bounds tests Volatility West's test zero