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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2017 Issue 4, Pages 17–25 (Mi pu1036)

This article is cited in 2 papers

Control in the socio-economic systems

Comparison of the econometric data analysis methods for the financial bubbles identification

E. A. Grebenyuka, A. V. Malinkinab

a V. A. Trapeznikov Institute of Control Sciences of Russian Academy of Sciences, Moscow
b Moscow

Abstract: The comparative analysis of econometric methods is conducted of detecting and dating financial market bubbles, based on modern approach to bubbles identification. Two methods are compared, based on defining financial bubbles as periods in which the price change dynamics is described as an explosive-type non-stationary process. The comparison is conducted with the use of Monte Carlo simulation results.

Keywords: explosive process, right-tailed unit root test, correlation coefficient, sequential analysis.

UDC: 519.237.5



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