参考文献/References:
[1] Phillips P C B,Wu Yangru,Yu Jun.Explosive behavior in the 1990s Nasdaq:when did exuberance escalate asset values?[J].International Economic Review,2011,52(1):201-226.
[2] Phillips P C B,Shi Shuping,Yu Jun.Testing for multiple bubbles:historical episodes of exuberance and collapse in the S&P 500[J].International Economic Review,2015,56(4):1043-1078.
[3] 张凤兵,乔翠霞,张会芳.“结束”还是“延续”:中国房地产市场泡沫测度:基于递归SADF与GSADF检验[J].统计与信息论坛,2018,33(7):84-91.
[4] Huang Huilian,Xiong Tao.Price bubbles and market integration in global sugar futures markets[J].Journal of Applied Economics,2020,23(1):1-20.
[5] Moreira A M,Martins L F.A new mechanism for anticipating price exuberance[J].International Review of Economics and Finance,2020,65:199-221.
[6] Li Yan,Wang Zhicheng,Wang Hongchuan,et al.Identifying price bubble periods in the Bitcoin market-based on GSADF model[J].Quality and Quantity,2021,55(1):1-16.
[7] Pavlidis E G,Yusupova A,Payá I,et al.Episodes of exuberance in housing markets:in search of the smoking gun[J].The Journal of Real Estate Finance and Economics,2016,53(4):419-449.
[8] Pedersen T Q,Baillie R T,Palm F C.Testing for explosive bubbles in the presence of auto-correlated innovations[J].Journal of Empirical Finance,2020,58(9):207-225.
[9] Harvey D I,Leybourne S J,Sollis R,et al.Tests for explosive financial bubbles in the presence of non-stationary volatility[J].Journal of Empirical Finance,2016,38(9):548-574.
[10] Harvey D I,Leybourne S J,Zu Yang.Tests explosive bubbles with time-varying volatility[J].Econometric Reviews,2018,38(10):1131-1151.
[11] Harvey D I,Leybourne S J,Zu Yang.Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility[J].Econometric Theory,2020,36(1):122-169.
[12] Kurozumi E,Skrobotov A,Tsarev A.Time-transformed test for the explosive bubbles under non-stationary volatility[EB/OL].[2020-11-16].[2021-08-10].https://arxiv.org/pdf/2012.13937.pdf.
[13] Whitehouse E J.Explosive asset price bubble detection with unknown bubble length and initial condition[J].Oxford Bulletin of Economics and Statistics,2019,81(1):20-41.
[14] Elliott G,Rothenberg T J,Stok J H.Rothenberg and James H. Stock. Efficient tests for an autoregressive unit root[J].Econometrica,1996,64(4):813-836.
[15] Giuseppe Cavaliere,Robert Taylor A M.Time-transformed unit root tests for models with non-stationary volatility[J].Journal of Time Series Analysis,2007,29(2):300-330.
相似文献/References:
[1]江海峰,杨海文.有限样本递归均值调整单位根检验与Bootstrap研究[J].江西师范大学学报(自然科学版),2015,(03):270.
JIANG Haifeng,YANG Haiwen.The Recursive Mean Adjustment Unit Root Test and
Bootstrap Research for Finite Sample Size[J].Journal of Jiangxi Normal University:Natural Science Edition,2015,(06):270.