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Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27204
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| Title: | | Rational bubbles and fractional integration  |
| Authors: | | Kruse, Robinson |
| Issue Date: | | 2008 |
| Series/Report no.: | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 394 |
| 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. |
| Subjects: | | Fractional integration bubbles changing persistence |
| JEL: | | C12 C22 G12 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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