A recursive test procedure is suggested that provides a mechanism for testing explosive
behavior, date stam** the origination and collapse of economic exuberance, and …

We propose several tests for rational bubbles and investigate their power properties. The
focus lies on the case where bubble detection is reduced to testing for a unknown change …

Employing a long-memory approach, we provide a study of the evolution of informational
efficiency in five major Bitcoin markets and its influence on cross-market arbitrage. While all …

This paper studies asset price bubbles in a continuous time model using the local
martingale framework. Providing careful definitions of the asset's market and fundamental …

This article reviews the theoretical literature on asset price bubbles, with an emphasis on the
martingale theory of bubbles. The key questions studied are as follows: First, under what …

This study tests for a break in the persistence of EMU government bond yield spreads
examining data from France, Italy and Spain and using German interest rates as a kind of …

This study investigates multiple changes in persistence in the dividend–price and price–
earnings ratio of the NASDAQ Composite Index. Recent time series methods that are …

This paper analyses long range fractional dependence of China pollution in four major
cities, namely Bei**g, Shanghai, Guangzhou and Shenzhen from September 28 of 2013 to …

Purpose The purpose of this paper is to investigate whether there exist multiple bubbles in
the Brazil, Russia, India, China and South Africa (BRICS) stock markets …

This study investigates the relationship between US state housing prices and overall US
housing prices as well as the relationship among state housing prices using fractional …