4 papers
Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble
Eiji Kurozumi, Anton Skrobotov
We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine bot…
Improving the accuracy of bubble date estimators under time-varying volatility
Eiji Kurozumi, Anton Skrobotov
In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the algorithm of estimating the break dates with volatility correc…
On the asymptotic behavior of bubble date estimators
Eiji Kurozumi, Anton Skrobotov
In this study, we extend the three-regime bubble model of Pang et al. (2021) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic a…
Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility
Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev
This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test…