E. A. Grebenuk, A. V. Malinkina, “Econometric analysis of data for identification and dating the financial bubbles timeline”, Probl. Upr., 2014, Issue 5,Pages <nobr>50

This article is cited in 2 papers

Control in the socio-economic systems

Econometric analysis of data for identification and dating the financial bubbles timeline

E. A. Grebenuk^a, A. V. Malinkina^b

^a Institute of Control Sciences, Russian Academy of Sciences, Moscow
^b Moscow

Abstract: The paper considers the new approach to identification and dating timeline of financial bubbles with use of econometric methods of time series analysis. A new approach to identification and dating of bubbles based on detection of change of price and dividend processes types is proposed. The developed algorithm is based on application of sequential analysis.

Keywords: rational bubble, difference-stationary process, the explosive process, Dickey–Fuller unit root test, hypotheses sequential testing algorithm.

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