@techreport{Kruse2008Rational,
abstract = {In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a unit root afterwards. These results bring two empirical findings in line: on one hand they confirm the previous result of fractional integration and on the other hand they support the hypothesis of a rational bubble.},
address = {Hannover},
author = {Robinson Kruse},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C12; C22; G12; 330; Fractional integration; bubbles; changing persistence; B\"{o}rsenkurs; Bubbles; Rationales Verhalten; Zeitreihenanalyse; Strukturbruch; Statistischer Test; Gro\ss{}britannien},
language = {eng},
number = {394},
publisher = {Fachbereich Wirtschaftswiss., Univ.},
title = {Rational bubbles and fractional integration},
type = {Discussion papers // School of Economics and Management of the Hanover Leibniz University},
url = {http://hdl.handle.net/10419/27204},
year = {2008}
}
