2 citations · 3 across the 10 of their papers we have counts for
11 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…
Panel Data Unit Root testing: Overview
Anton Skrobotov
This review discusses methods of testing for a panel unit root. Modern approaches to testing in cross-sectionally correlated panels are discussed, preceding the analysis with an an…
Wild inference for wild SVARs with application to volatility-based IV
Bulat Gafarov, Madina Karamysheva, Andrey Polbin +1
We propose a dependent wild bootstrap method based on local projections for computing the joint asymptotic distribution of parameter estimates in structural vector autoregression m…
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…
Testing for explosive bubbles: a review
Anton Skrobotov
This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of er…
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…
Robust Inference on Income Inequality: -Statistic Based Approaches
Rustam Ibragimov, Paul Kattuman, Anton Skrobotov
Empirical analyses on income and wealth inequality and those in other fields in economics and finance often face the difficulty that the data is heterogeneous, heavy-tailed or corr…
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…
COVID-19: Tail Risk and Predictive Regressions
Walter Distaso, Rustam Ibragimov, Alexander Semenov +1
The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World. It provides the…
New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
Rustam Ibragimov, Rasmus Pedersen, Anton Skrobotov
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the anal…
New robust inference for predictive regressions
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov
We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, pers…