Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/185607 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. TI 2018-088/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce a time-varying parameter model that is capable of describing this behavior in time series data. Our proposed model can be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model specification that allows for different bubble shapes and behavior. We establish stationarity, ergodicity, and bounded moments of the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood estimator. Given the parameter estimates, our filter is capable of extracting the unobserved bubble process from observed data. We study finite-sample properties of our estimator through a Monte Carlo simulation study. Finally, we show that our model compares well with noncausal models in a financial application concerning the Bitcoin/US dollar exchange rate.
Schlagwörter: 
bubbles
observation driven models
noncausal models
stationary
ergodic
consistency
asymptotic normality
exchange rates
JEL: 
C22
C58
G10
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
574.2 kB





Publikationen in EconStor sind urheberrechtlich geschützt.