Relevant bibliographies by topics / Generalized sup augmented Dickey-Fuller test

Contents

  1. Journal articles
  2. Dissertations / Theses

Academic literature on the topic 'Generalized sup augmented Dickey-Fuller test'

Author: Grafiati
Published: 4 June 2021
Last updated: 4 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Generalized sup augmented Dickey-Fuller test.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Generalized sup augmented Dickey-Fuller test"

1

Faroque, Akhter, and Stanley A. Koren. "Diagnosing Housing Bubbles across Rich Countries." International Journal of Economics and Finance 10, no. 4 (March 19, 2018): 179. http://dx.doi.org/10.5539/ijef.v10n4p179.

Full text
Abstract:
This paper addresses an empirical puzzle in the housing bubble literature: models of market fundamentals perform poorly in explaining investor exuberance in housing even though, individually, many fundamentals have strong ability to predict explosive growth in real house prices. We explore two plausible sources for the poor performance: missing fundamentals and missing bubble dynamics. To shed light on the relative importance of these sources, we conduct a detailed two-step investigation of the housing markets in ten rich countries using models, methodologies and datasets that are similar to those employed in the existing literature. Our findings consistently show that the predictive ability of models of market fundamentals can be dramatically enhanced once missing dynamics of housing bubbles are properly accounted for. GSADF denotes Generalised Sup Augmented Dickey–Fuller test and SADF denotes Sup Augmented Dickey–Fuller test.
APA, Harvard, Vancouver, ISO, and other styles
2

Hạ, Châu Đỗ Nhật, and Trần Thị Tuấn Anh. "Kiểm định sự hiện diện của bong bóng trên thị trường chứng khoán Việt Nam giai đoạn từ 2006 đến 2019." KINH TẾ VÀ QUẢN TRỊ KINH DOANH 15, no. 1 (May 28, 2020): 34–45. http://dx.doi.org/10.46223/hcmcoujs.econ.vi.15.1.250.2020.

Full text
Abstract:
Hiện tượng bong bóng xảy ra trên thị trường tài chính thường dẫn đến một hệ lụy nghiêm trọng về nguy cơ sụp đổ thị trường gây ra nhiều biến động cho nền kinh tế. Vì vậy, nhận diện sự tồn tại bong bóng trên thị trường là một trong những chủ đề nghiên cứu được quan tâm. Bài viết này sử dụng số liệu về giá đóng cửa hàng ngày của chỉ số VN-Index và HNX-Index từ năm 2006 đến cuối 2019 để kiểm định sự hiện diện của bong bong chứng khoán trên cả hai thị trường chứng khoán Thành phố Hồ Chí Minh và Hà Nội. Kết quả áp dụng kiểm định tính dừng phía phải bằng thống kê (SADF - sup augmented Dickey–Fuller test) và kiểm định tính dừng phía phải tổng quát (GSADF - generalized sup Augmented Dickey-Fuller) trên dữ liệu của cả hai thị trường không những cho thấy sự xuất hiện của bong bóng ở hai nơi, mà còn phát hiện được thời gian xảy ra bong bóng trong từng giai đoạn 2006 – 2012 và 2013 – 2019. Kết quả phân tích của bài viết cũng cho thấy sự tương đồng trong hiện tượng bong bóng của hai chỉ số VN-Index và HNX-Index, mặc dù có sự chênh lệch về thời gian, nhưng sự chênh lệch này không đáng kể.
APA, Harvard, Vancouver, ISO, and other styles
3

Areal, Francisco José, Kevin Balcombe, and George Rapsomanikis. "Testing for bubbles in agriculture commodity markets." Economía Agraria y Recursos Naturales 16, no. 1 (June 17, 2016): 59. http://dx.doi.org/10.7201/earn.2016.01.04.

Full text
Abstract:
<p class="Num-DocParagraph">We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips <em>et al.</em>, 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention.</p>
APA, Harvard, Vancouver, ISO, and other styles
4

Areal, Francisco José, Kevin Balcombe, and George Rapsomanikis. "Testing for bubbles in agriculture commodity markets." Economía Agraria y Recursos Naturales 16, no. 1 (June 17, 2016): 59. http://dx.doi.org/10.7201/earn.2016.01.04.

Full text
Abstract:
<p class="Num-DocParagraph">We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips <em>et al.</em>, 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention.</p>
APA, Harvard, Vancouver, ISO, and other styles
5

Chang, Tsangyao, Luis Gil-Alana, Goodness C. Aye, Rangan Gupta, and Omid Ranjbar. "Testing for bubbles in the BRICS stock markets." Journal of Economic Studies 43, no. 4 (September 12, 2016): 646–60. http://dx.doi.org/10.1108/jes-07-2014-0128.

Full text
Abstract:
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. Design/methodology/approach In this study, the authors apply the generalized sup Augmented Dickey-Fuller test, a new recursive test proposed by Phillips et al. (2015) and use monthly data on stock price-dividend ratio. Findings The empirical results indicate that there exist multiple bubbles in the stock markets of the BRICS. Further, the dates of the bubbles also correspond to specific events in the stock markets of these economies. This finding has important economic and policy implications. Originality/value The authors declare that this paper is original and has not been published by another journal previously.
APA, Harvard, Vancouver, ISO, and other styles
6

Iliyasu, Jamilu, and Ndayezhin D. Saba. "Testing for Single Bubble Episode in the Nigerian Stock Market: An Empirical Investigation." Central Bank of Nigeria Journal of Applied Statistics, Vol. 10 No. 1 (August 27, 2019): 29–49. http://dx.doi.org/10.33429/cjas.10119.2/6.

Full text
Abstract:
This study tested for a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggested non-existence of a bubble in the NSE between 2010 and 2017. Though there was an indication of one explosive episode in September 2011 at which the Dickey-Fuller statistic lied above the critical values sequence line. However, it was not a bubble but a short deviation from trend. The study also estimated a time-varying long memory parameter, using a fractionally-integrated autoregressive model to check the robustness of the SADF test and it provided further evidence on the absence of a bubble. These findings showed that the behaviour of stock prices was not driven by a bubble in the Nigerian Stock Exchange (NSE). The study, therefore recommended that a time-to-time bubble diagnostic check on the exchange so that symptoms of a bubble can be early detected and managed to avoid losses that may result from the bust.
APA, Harvard, Vancouver, ISO, and other styles
7

Nielsen, Morten Ørregaard. "A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC." Econometric Theory 25, no. 6 (December 2009): 1515–44. http://dx.doi.org/10.1017/s0266466609990247.

Full text
Abstract:
This paper presents a family of simple nonparametric unit root tests indexed by one parameter,d, and containing the Breitung (2002,Journal of Econometrics108, 342–363) test as the special cased= 1. It is shown that (a) each member of the family withd> 0 is consistent, (b) the asymptotic distribution depends ondand thus reflects the parameter chosen to implement the test, and (c) because the asymptotic distribution depends ondand the test remains consistent for alld> 0, it is possible to analyze the power of the test for different values ofd. The usual Phillips–Perron and Dickey–Fuller type tests are indexed by bandwidth, lag length, etc., but have none of these three properties.It is shown that members of the family withd< 1 have higher asymptotic local power than the Breitung (2002) test, and whendis small the asymptotic local power of the proposed nonparametric test is relatively close to the parametric power envelope, particularly in the case with a linear time trend. Furthermore, generalized least squares (GLS) detrending is shown to improve power whendis small, which is not the case for the Breitung (2002) test. Simulations demonstrate that when applying a sieve bootstrap procedure, the proposed variance ratio test has very good size properties, with finite-sample power that is higher than that of the Breitung (2002) test and even rivals the (nearly) optimal parametric GLS detrended augmented Dickey–Fuller test with lag length chosen by an information criterion.
APA, Harvard, Vancouver, ISO, and other styles
8

Jafari Samimi, Ahmad, and Roozbeh Balounejad Nouri. "The Test of Multiple Price Bubbles in Tehran Stock Market: an Application of the Generalized Supremum Augmented Dickey–Fuller." Journal of Research in Economic Modeling 6, no. 21 (December 1, 2015): 7–33. http://dx.doi.org/10.18869/acadpub.jemr.6.21.7.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Su, Chi-Wei, Lu Liu, Ran Tao, and Oana-Ramona Lobonţ. "Do natural rubber price bubbles occur?" Agricultural Economics (Zemědělská ekonomika) 65, No. 2 (February 27, 2019): 67–73. http://dx.doi.org/10.17221/151/2018-agricecon.

Full text
Abstract:
In this paper, we employ the Generalized Supremum Augmented Dickey-Fuller test in order to identify the existence of multiple bubbles in natural rubber. This approach is practical for the using of time series and identifies the beginning and end points of multiple bubbles. The results reveal that there are five bubbles, where exist the divergences between natural rubber prices and their basic values on account of market fundamentals. The five bubbles are related to imbalance between supply and demand, inefficiencies of smallholders market, oil prices, exchange rate and climatic changes through analyses. Thus, the corresponding authorities are supposed to identify bubbles and consider their evolutions, which is beneficial to the stability of natural rubber price.
APA, Harvard, Vancouver, ISO, and other styles
10

Ural, Mert. "ANALYZING MULTIPLE BUBBLES IN THE USDKZT EXCHANGE RATE USING THE GSADF TEST." Eurasian Research Journal 3, no. 2 (July 15, 2021): 7–18. http://dx.doi.org/10.53277/2519-2442-2021.2-01.

Full text
Abstract:
Since most of the financial crisis caused by the bursting bubble of financial assets, the investigation of bubble behaviors and the early detection for the prevention of adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on the basis of a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015), as well as to determine date stamps of the price bubbles. In this regard, we performed GSADF test by using weekly closing prices of the nominal exchange rate for the period between 23.08.2015 to 04.04.2021. In line with the empirical findings obtained, two explosive bubbles are detected in 2018 and 2020 when USDKZT exchange rate deviates from fundamental value. Our findings suggest that due to the possibility of bubble repetition, GSADF has been verified to be a better test for detecting bubbles.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Generalized sup augmented Dickey-Fuller test"

1

Basoglu, Fatma. "Testing For Rational Bubbles In The Turkish Stock Market." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614505/index.pdf.

Full text
Abstract:
In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.
APA, Harvard, Vancouver, ISO, and other styles
2

Ferreira, Marcos Souza. "Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16704.

Full text
Abstract:
Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-27T13:57:40Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET.pdf: 405486 bytes, checksum: 54cd37d39ac7269f0a808b0e73addedb (MD5)
Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Marcos, boa tarde Por gentileza, verificar a numeração das páginas. Está correto, elas aparecerem a partir da Introdução, porém, não deve se iniciar pela página 1. Por exemplo, se a Introdução é na página 11, incluir a partir da página 11. Em seguida submeter novamente o arquivo. Att on 2016-07-28T15:38:39Z (GMT)
Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-28T16:49:04Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5)
Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-07-28T16:58:52Z (GMT) No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5)
Made available in DSpace on 2016-07-28T17:28:22Z (GMT). No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5) Previous issue date: 2016-06-28
Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Generalized sup augmented Dickey-Fuller test' for particular source types:
Journal articles
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography