| Reference: | Ali, N., A. Nassir, T. Hassan and S. Z. Abidin (2009). Stock Overreaction and Financial Bubbles: Evidence from Malaysia. Journal of Money, Investment and Banking, 11, 90–101.
Blanchard, O. (1979). Speculative Bubbles: Crashes and Rational Expectations. Economics Letters, 3, 387–389.
Blanchard, O. and M. Watson (1982). Bubbles, Rational Expectations and Financial Markets. Crisis in the Economic and Financial Structure, edited by Paul Wachtel, Lexington Books, 295–316
Blattberg, R. C. and N. J. Gonedes (1974). A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices. The Journal of Business, 47:2, 244–280.
Bollerslev, T. (1987). A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics, 69:3, 542–547.
Broda, S. A. (2012). The Expected Shortfall of Quadratic Portfolios with Heavy-Tailed Risk Factors. Mathematical Finance, 22:4, 710–728.
Carrasco, M., M. Chernov, J. Florens and E. Ghysels (2002). Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions. Working Paper; Department of Economics: University of Rochester.
Davis, R. and S. Resnick (1985). Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities. Annals of Probability, 13, 179–195.
Davis, R. and S. Resnick (1986). Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages. Annals of Statistics, 14, 533–558.
Diba, B. and H. Grossman (1988). Explosive Rational Bubbles in Stock Prices? The American Economic Review, 78, 520–530.
Evans, G. (1991). Pitfalls in Testing for Explosive Bubbles in Asset Prices. The American Economic Review, 81:4, 922–930.
Fama, E. (1963). Mandelbrot and the Stable Paretian Hypothesis. The Journal of Business, 36:4, 420–429.
Fama, E. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38:1, 34–105.
Feuerverger, A. (1990). An Efficiency Result for the Empirical Characteristic Function in Stationary Time-Series Models. The Canadian Journal of Statistics, 18:2, 155–161.
Flood, R. and P. Garber (1980). Market Fundamentals Versus Price Level Bubbles. The First Tests. Journal of Political Economy, 88, 745–770.
Glasserman, P., P.HeidelbergerandP.Shahabuddin(2002). PortfolioValueat Risk with Heavy-Tailed Risk Factors. Mathematical Finance, 12:3,239–269.
Gourieroux, C. and A. Hencic (2015). Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange rate. Econometrics of Risk, 583, 17–40.
Gourieroux, C. and J. M. Zakoian (2017). Local Explosion Modelling by Noncausal Process. Journal of the Royal Statistical Society: Series B, forthcoming.
Homm, U. and J. Breitung (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10, 198–231.
Hu, B. (2011). Are Asian stock markets characterized by rational speculative bubbles? Lincoln University.
Huisman, R., K. G. Koedijk and R. A. J. Pownall (1998). VaR-x: Fat Tails in Financial Risk Management. Journal of Risk, 1:1, 47–61.
Jiang, G. and J. L. Knight (2002). Estimation of Continuous Time Processes via the Empirical Characteristic Function. Journal of Business & Economic Statistics, 20:2, 198–212.
Knight, J. L. and S. E. Satchell (1996). Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function. Working Paper, Department of Economics, University of Western Ontario.
Knight, J. L. and S. E. Satchell (1997). The Cumulant Generating Function Estimation Method. Econometric Theory, 13:2, 170–184.
Knight, J. L. and J. Yu (2002). The Empirical Characteristic Function in Time Series Estimation. Econometric Theory, 18, 691–721.
Lehkonen, H. (2010). Bubble in China. International Review of Financial Analysis, 19, 113–117.
Mandelbrot, B. (1963). The Variation of Certain Speculative Prices. Journal of Business, 36:4, 394–419.
Mandelbrot, B. and H. M. Taylor (1967). On the Distribution of Stock Price Difference. Operations Research, 15:6, 1057–1062.
McNeil, A. J. and R. Frey (2000). Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach. Journal of Empirical Finance, 7:3-4, 271–300.
Mokhtar, S. H., A. M. Nassir and T. Hassan (2006). Detecting Rational Speculative Bubbles in the Malaysian Stock Market. International Research Journal of Finance and Economics, 6, 102–115.
Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59:2, 347–370.
Parzen, E. (1962). On estimation of a probability density function and mode. Annals of Mathematical Statistics, 33, 1065–1076.
Phillips, P., Y. Wu and J. Yu (2011) Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? International Economic Review, 52, 201–226.
Phillips, P., S. Shi and J. Yu (2012). Testing for Multiple Bubbles. Cowles Foundation Discussion Paper, 1843.
Politis, D. N. (2004). A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction. Annals of Economics and Finance, 5, 283–298.
Praetz, P. D. (1972). The Distribution of Share Price Changes. The Journal of Business, 45:1, 49–55.
Sarno, L. and M. P. Taylor (1999). Moral Hazard, Asset Price Bubbles, Capital Flows, and the East Asian Crisis: The First Tests. Journal of International Money and Finance, 18, 637–657.
Yu, J. (1998). The Empirical Characteristic Function in Time-Series Estimation. Ph.D. thesis, University of Western Ontario.
Yu, J. (2004). Empirical Characteristic Function Estimation and Its Applications. Econometric Reviews, 23, 93–123.
Zhang, B. (2008). Duration Dependence Test for Rational Bubbles in Chinese Stock Market. Applied Economics Letters, 15:8, 635–639. |
