Testing for Rational Bubbles in a Co-Explosive Vector Autoregression

By Tom Engsted, Bent Nielsen. 2012

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b69dede1c33b94afe141696746de676659178ab1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Thomas Quistgaard Pedersen
2. S. Hviid
3. Tom Engsted

In Finance

1. Thomas Quistgaard Pedersen
2. S. Hviid
3. Tom Engsted

In Management Science and Operations Research

1. Thomas Quistgaard Pedersen
2. S. Hviid
3. Tom Engsted

Citations in the corpus

• Explosive bubbles in house prices? Evidence from the OECD countries (2015, methodology): “The appealing feature of the co-explosive VAR framework of Engsted and Nielsen (2012) is that it allows prices to contain both an explosive component - coming from the bubble - and an I(1) component coming from the non-stationary part of fundamentals, i.e. prices and fundamentals may ’cointegrate’…”