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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Kruse, Robinson | en |
dc.date.accessioned | 2008-04-09 | - |
dc.date.accessioned | 2009-08-06T13:11:21Z | - |
dc.date.available | 2009-08-06T13:11:21Z | - |
dc.date.issued | 2008 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannover | en |
dc.relation.ispartofseries | |aDiskussionsbeitrag |x394 | en |
dc.subject.jel | C12 | en |
dc.subject.jel | C22 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Fractional integration | en |
dc.subject.keyword | bubbles | en |
dc.subject.keyword | changing persistence | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Bubbles | en |
dc.subject.stw | Rationales Verhalten | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | Großbritannien | en |
dc.title | Rational bubbles and fractional integration | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 561277222 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:han:dpaper:dp-394 | en |
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