Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods

By Ulrich Homm, J. Breitung. 2012

451 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bac6cbd911c28ed825f028608558ea724d93cf38

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In Economics and Econometrics

Citations in the corpus

Tests for explosive financial bubbles in the presence of non-stationary volatility☆ (2016, methodology): “(2010) employ the CUSUM methodology of Inclan and Tiao (1994) and Kokoszka and Leipus (1999) to search for structural breaks in the unconditional volatility of the returns series for 45 commodities.”
Detecting bubbles in Hong Kong residential property market (2013, background): “1 From a theoretical perspective, the “bubble” explanation of the housing price dynamics is not satisfactory, as argued by Montrucchio and Privileggi (2001) and Leung (2004). Furthermore, from an empirical perspective, it may be difficult to differentiate the bubble dynamics from the dynamics genera”
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 (2015, unknown): “These tests are considered in Homm and Breitung (2012) for bubble detection and all share the spirit of the SADF test of PWY.”
From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks (2013, unknown): “Extensive simulations conducted by Phillips et al. (2011, 2012) as well as Homm and Breitung (2012) indicate that the sup ADF test has substantial power to detect speculative bubbles.”
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors (2015, methodology): “3 See Phillips and Yu (2011b), Das et al. (2011), Homm and Breitung (2012), Gutierrez (2013), Bohl et al. (2013), Etienne et al. (2013), Greenaway-McGrevy and Phillips (forthcoming), and Jiang et al. (2015), among others.”
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION (2017, unknown): “…recursive right-sided unit root testing procedures (Phillips, Wu and Yu, 2011, PWY; Phillips, Shi and Yu, 2014; PSY), CUSUM monitoring techniques (Homm and Breitung, 2012; HB), and double-recursive algorithms (Phillips, Shi and Yu, 2015a,b) that enable bubble detection and consistent estimation…”
Local explosion modelling by non‐causal process (2017, unknown): “Many researchers have found evidence of a speculative bubble in the series of the Nasdaq composite price index (see Homm and Breitung (2012) and Phillips et al. (2011), and the references therein).”
Testing for Mild Explosivity and Bubbles in LME Non‐Ferrous Metals Prices (2015, unknown): “Homm and Breitung (2012) established in simulation Correspondence to: Roderick McCrorie, School of Economics & Finance, University of St Andrews, St Andrews, KY16 9AR, UK.”
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, methodology): “Simulation experiments in Homm and Breitung (2012) show that the SADF test outperforms alternative testing methods such as the modi ed versions proposed by Bhargava (1986), Busetti and Taylor (2004), and Kim (2000) and Kim et al. (2002) in the presence of a single change in the persistence from a…”