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dc.contributor.authorKruse, Robinsonen_US
dc.date.accessioned2008-04-09en_US
dc.date.accessioned2009-08-06T13:11:21Z-
dc.date.available2009-08-06T13:11:21Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/27204-
dc.description.abstractIn 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.isoengen_US
dc.publisherFachbereich Wirtschaftswiss., Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion papers // School of Economics and Management of the Hanover Leibniz University 394en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordFractional integrationen_US
dc.subject.keywordbubblesen_US
dc.subject.keywordchanging persistenceen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBubblesen_US
dc.subject.stwRationales Verhaltenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwGroßbritannienen_US
dc.titleRational bubbles and fractional integrationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn561277222en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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