E. A. Grebenuk, A. V. Malinkina, “Econometric analysis of data for identification and dating the financial bubbles timeline”, Probl. Upr., 2014, no. 5, 50

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Problemy Upravleniya, 2014, Issue 5, Pages 50–58 (Mi pu878)

This article is cited in 2 scientific papers (total in 2 papers)

Control in the socio-economic systems

Econometric analysis of data for identification and dating the financial bubbles timeline

E. A. Grebenuk^a, A. V. Malinkina^b

^a Institute of Control Sciences, Russian Academy of Sciences, Moscow
^b Moscow

Full-text PDF (770 kB) Citations (2)

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Abstract: The paper considers the new approach to identification and dating timeline of financial bubbles with use of econometric methods of time series analysis. A new approach to identification and dating of bubbles based on detection of change of price and dividend processes types is proposed. The developed algorithm is based on application of sequential analysis.

Keywords: rational bubble, difference-stationary process, the explosive process, Dickey–Fuller unit root test, hypotheses sequential testing algorithm.

Document Type: Article

UDC: 519.237.5

Language: Russian

Citation: E. A. Grebenuk, A. V. Malinkina, “Econometric analysis of data for identification and dating the financial bubbles timeline”, Probl. Upr., 2014, no. 5, 50–58

Citation in format AMSBIB

\Bibitem{GreMal14}

\by E.~A.~Grebenuk, A.~V.~Malinkina

\paper Econometric analysis of data for identification and dating the financial bubbles timeline

\jour Probl. Upr.

\yr 2014

\issue 5

\pages 50--58

\mathnet{http://mi.mathnet.ru/pu878}

Linking options:

https://www.mathnet.ru/eng/pu878

https://www.mathnet.ru/eng/pu/v5/p50

This publication is cited in the following 2 articles:

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

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Abstract page:	271
Full-text PDF :	70
References:	56
First page:	28

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