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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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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kruse, Robinson | | en_US |
| dc.date.accessioned | | 2008-04-09 | | en_US |
| dc.date.accessioned | | 2009-08-06T13:11:21Z | | - |
| dc.date.available | | 2009-08-06T13:11:21Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27204 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Fachbereich Wirtschaftswiss., Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 394 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Fractional integration | | en_US |
| dc.subject.keyword | | bubbles | | en_US |
| dc.subject.keyword | | changing persistence | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Bubbles | | en_US |
| dc.subject.stw | | Rationales Verhalten | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Großbritannien | | en_US |
| dc.title | | Rational bubbles and fractional integration | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 561277222 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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