Relevant bibliographies by topics / Generalized Supremum ADF test

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Academic literature on the topic 'Generalized Supremum ADF test'

Author: Grafiati
Published: 5 June 2025
Last updated: 24 June 2025

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Journal articles on the topic "Generalized Supremum ADF test"

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j, j. "Are There Housing Bubbles in Seoul Metropolitan Areas?: Evidence from Right-Tailed Unit Root Test." Korean Data Analysis Society 25, no. 6 (2023): 2065–77. http://dx.doi.org/10.37727/jkdas.2023.25.6.2065.

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This study examines the explosive behaviors of house prices in Seoul and its metropolitan areas during 2008Q1~2023Q1. In order for the relationship between house prices and cash flows to reflect better the Korean housing market, this study adopts price-to-income ratio, real transaction-based house prices and personal income. Based on the generalized supremum ADF (GSADF) test, our empirical findings show that housing bubbles are identified in all three markets. According to the starting period, duration periods, and magnitude and prominent peaks among GSADF statistics, the bubbles in Seoul housing market appear to be most serious and further be transmitted to the housing markets of its metropolitan area, Incheon and Gyeonggi-do. Since the methodology used in this study provides policy-makers and investors with real-time information on bubbles, they could formulate a better early warning system to tackle the bubble problem. Specially, our empirical finding helps policy makers to prioritize Seoul over the other housing markets to cope with ongoing bubbles.
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Li, Xin, Chi-Wei Su, Meng Qin, and Fahai Zhao. "Testing for Bubbles in the Chinese Art Market." SAGE Open 10, no. 1 (2020): 215824401990124. http://dx.doi.org/10.1177/2158244019901249.

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This article detects the existence of bubbles in the Chinese art market and investigates when the bubbles originate and crash. We utilize the generalized supremum augmented Dickey–Fuller (ADF) test to detect explosive behavior in the Chinese art market. The empirical results indicate that there are two bubbles in the Chinese art market that happened in the periods from 2004 to 2005 and 2010 to 2011. The main reasons are the financialization of artworks, the speculation of investment institution, and the fluctuation of macroeconomics in China. Our findings are in agreement with the bubble model improved by Gürkaynak considering that asset price can be decomposed to bubbles and fundamental parts. Therefore, to favor the Chinese art market price stabilization, the regulators from this market should identify bubbles to notice their evolutions. The authorities should also manage the expectations of the public and reduce speculative behavior.
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Shaikh, Asra, Muhammad Kashif, Mobeen Ur Rehman, and Shafiq Ur Rehman. "Driven by Fundamentals or Exploded by Sentiments: Testing for Speculative Bubbles in Emerging Stock Markets." Pakistan Business Review 25, no. 1 (2023): 1–27. http://dx.doi.org/10.22555/pbr.v25i1.746.

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This study investigates the existence of speculative bubbles in diverse nine emerging markets, which may lead to terrible financial disasters. Therefore, a novel approach of Rtadf (Recursive, Right-tailed Augmented Dickey-Fuller) tests, monthly time-series data (January 2000–July 2021), and Monte-Carlo simulation under Gaussian assumptions is used. Our findings imply that massive growth in China, Indonesia, Malaysia, Pakistan, Taiwan, and Thailand is driven by credit or speculative bubbles rather than fundamentals whereas no bubbles are found in South Korea, India, and the Philippines - (as per Generalized Supreme ADF - GSADF test). Furthermore, in each stock market, these bubbles primarily exist prior to any local and global financial crisis. These findings add to the existing knowledge of the relationship between bubbles and financial crises. Hence, this study suggests the GSADF test could detect an impending financial crisis in any economy, allowing authorities to control or maintain economic and financial stability.
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Katchekpele, Edoh, Issa Cherif Geraldo, and Tchilabalo Abozou Kpanzou. "Unveiling change-point detection with ARMA-GARCH models." Gulf Journal of Mathematics 17, no. 2 (2024): 226–42. http://dx.doi.org/10.56947/gjom.v17i2.2131.

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This paper delves into the asymptotic theory of a Cumulative Sum (CUSUM)-type test designed for detecting change points in the variance of AutoRegressive Moving-Average models, incorporating Generalized Autoregressive Conditional Heteroscedasticity innovations. We demonstrate that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using a Monte Carlo simulation, we highlight the strong performance of our proposed test when compared to the methods by Song and Kang. Furthermore, we provide a real-world data analysis to showcase the practical application of our test.
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Ilalan, Deniz, and Özgür Özel. "Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields." International Journal of Nonlinear Sciences and Numerical Simulation 20, no. 2 (2019): 145–52. http://dx.doi.org/10.1515/ijnsns-2018-0012.

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AbstractMean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. We apply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.
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Su, Chi-Wei, Zheng-Zheng Li, Ran Tao, and Deng-Kui Si. "RETRACTED: Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test." Japan and the World Economy 46 (June 2018): 56–63. http://dx.doi.org/10.1016/j.japwor.2018.03.004.

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Powell, Douglas A., and William D. Schafer. "The Robustness of the Likelihood Ratio Chi-Square Test for Structural Equation Models: A Meta-Analysis." Journal of Educational and Behavioral Statistics 26, no. 1 (2001): 105–32. http://dx.doi.org/10.3102/10769986026001105.

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The robustness literature for the structural equation model was synthesized following the method of Harwell which employs meta-analysis as developed by Hedges and Vevea. The study focused on the explanation of empirical Type I error rates for six principal classes of estimators: two that assume multivariate normality (maximum likelihood and generalized least squares), elliptical estimators, two distribution-free estimators (asymptotic and others), and latent projection. Generally, the chi-square tests for overall model fit were found to be sensitive to non-normality and the size of the model for all estimators (with the possible exception of the elliptical estimators with respect to model size and the latent projection techniques with respect to non-normality). The asymptotic distribution-free (ADF) and latent projection techniques were also found to be sensitive to sample sizes. Distribution-free methods other than ADF showed, in general, much less sensitivity to all factors considered.
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Ural, Mert. "ANALYZING MULTIPLE BUBBLES IN THE USDKZT EXCHANGE RATE USING THE GSADF TEST." Eurasian Research Journal 3, no. 2 (2021): 7–18. http://dx.doi.org/10.53277/2519-2442-2021.2-01.

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

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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.
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Peng, Yushan, Menglin Ni, and Xiaoying Wang. "Identifying price bubbles in copper market: Evidence from a GSADF test approach." PLOS ONE 18, no. 11 (2023): e0290983. http://dx.doi.org/10.1371/journal.pone.0290983.

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This paper uses the test proposed by Generalized Supremum Augmented Dickey-Fuller to identify whether there are multiple bubbles in copper price. The empirical results show that base on market fundamentals, there are seven bubbles existed from January 1980 to March 2023. Through analyses, the first two bubbles can be explained by the demand from Japan by the industry concentration and persistent supply constraint. The third to sixth bubbles are mainly negatively impacted by the global financial crisis and growing demand of China. The last bubble is caused by the economic recovery from Covid-19. The logit regression has stated that aluminum price, copper production, all metals index and GDP have a positive impact on copper bubbles, while China’s copper imports and precious metals price negatively explains copper bubbles. The main contributions are the investigation of the copper price bubbles, its determinants and the different technique of GSADF to detect copper price bubbles. Furthermore, it provides helpful information for those investors to make reasonable investment decisions and thus, avoid potential price risk.
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Dissertations / Theses on the topic "Generalized Supremum ADF test"

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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.

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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)<br>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)<br>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)<br>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)<br>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<br>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.
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2

Bespalova, Olga. "Financial exuberance in Latin America: an empirical study for the equity market." Master's thesis, 2018. http://hdl.handle.net/10362/49638.

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The subject of the present study is the potential existence of speculative bubbles in the Latin American equities markets as it has been shown to exist prior to market crashes in several other stock indexes of developed markets. The time series of the MSCI Emerging Markets Latin America and its several sub indices is analysed for the time period from January 1995 to February 2018 using the supremum Augmented Dickey Fuller test as well as recursive regression methodologies proposed by Phillips, Wu and Yu (2011) and Phillips, Shi and Yu (2013).
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Book chapters on the topic "Generalized Supremum ADF test"

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Özdemir, Hüseyin. "Price Bubble in the Turkish Stock Market during Pre- and Post-Covid: Evidence from the SADF and GSADF Test." In Finansal Piyasaların Evrimi IV. Özgür Yayınları, 2023. http://dx.doi.org/10.58830/ozgur.pub395.c1722.

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The study examines the possibility of a stock market price bubble in four sub-sector stock indices (financial, industrial, service, and technology) and the BIST 100 composite index in Turkey by using the monthly data spans from 2000 to 2023. To capture the irrational prosperity in Turkish stock markets, we employ the supremum augmented Dickey-Fuller (SADF) and the generalized supremum augmented Dickey-Fuller (GSADF) methodologies. Our primary focus is on the construction of price bubbles, particularly in the aftermath of the COVID-19 pandemic. Presently, there are ongoing and intense discussions regarding the potential emergence of such bubbles. The conclusion implies the presence of speculative bubbles in all sector-specific stock market indexes, with the exception of the technology index, subsequent to the complete removal of COVID-19 restrictions by the Turkish government. Moreover, the results show that exuberant investor behavior also occurred in some sub-periods other than the post-COVID-19 period for all stock market indices.
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Gök, Remzi. "Does Contagion Effect of Bubbles and Causality Exist Among Bitcoin, Gold, and Oil Markets?" In Advances in Logistics, Operations, and Management Science. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5279-0.ch004.

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The author studies the explosive behaviors, causality relationships, and contagion effects between three financial markets using the daily closing prices of Bitcoin, gold, and West Texas Intermediate (WTI) oil prices for a sample period from July 19, 2010 to September 10, 2021. By employing the generalized supremum augmented Dickey-Fuller (GSADF) approach, the author finds significant evidence of bubble explosive behaviors in the Bitcoin and WTI prices—but not in the gold prices—and these periods mostly match with the periods of quantitative easing and financial stress. Besides, the test shows several short and long episodes of unilateral causal linkages from Bitcoin returns to oil price changes under homoscedasticity and heteroskedasticity assumptions. The results show no evidence for the contagion effect of bubbles between cryptocurrency and oil markets during the sample period.
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