FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION

Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may take several different forms depending on the nature of the collapse and therefore requires some flexibility in modeling. This paper first s...

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Veröffentlicht in:	Econometric theory 2018-08, Vol.34 (4), p.705-753
Hauptverfasser:	Phillips, Peter C.B., Shi, Shu-Ping
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics Economic models Economic theory Flexibility NASDAQ trading Recovery Securities markets
Online-Zugang:	Volltext
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