Nothing Special   »   [go: up one dir, main page]
create a website
Riding Bubbles. (2009). Kole, Erik ; Jacobsen, B. ; Gunster, N. K. ; Kole, H. J. W. G., .
In: ERIM Report Series Research in Management.
RePEc:ems:eureri:17525.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 42

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Speculation and Nonlinear Price Dynamics in Commodity Futures Markets. (2010). Sigl-Grub, C. ; Schiereck, D..
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:56603.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abreu, D. and Brunnermeier, M. K. (2003). Bubbles and crashes. Econometrica, 71(1):173–204. Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61(4):821–856.

  2. Bai, J. (1994). Least squares estimation of a shift in linear processes. Journal of Time Series Analysis, 15(5):453–472.

  3. Bai, J. and Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1):47–78.

  4. Baker, M. and Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns.

  5. Baker, M. and Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2):129–151.

  6. Blanchard, O. J. and Watson, M. W. (1982). Bubbles, rational expectations and financial markets. In Wachtel, P., editor, Crisis in the Economic and Financial Structure, pages 295–315. Lexington Books, Lexington MA, USA.

  7. Brown, J. D. (1991). 101 Years on Wall Street. Prentice Hall.
    Paper not yet in RePEc: Add citation now
  8. Brunnermeier, M. K. (2008). Bubbles. In Durlauf, S. N. and Blume, L. E., editors, The New Palgrave Dictionary of Economics. Palgrave Macmillan, 2nd edition edition.
    Paper not yet in RePEc: Add citation now

  9. Brunnermeier, M. K. and Nagel, S. (2004). Hedge funds and the technology bubble. Journal of Finance, 59(5):2013–2040.

  10. Campbell, J. Y. and Shiller, R. J. (1987). Cointegrating and tests of present value models. Journal of Political Economy, 95(5):1062–1088.
    Paper not yet in RePEc: Add citation now
  11. Campbell, J. Y., Lo, A. W.-C., and MacKinlay, A. C. (1997). The Econometric of Financial Markets. Princeton University Press, Princeton, New Jersey, USA.
    Paper not yet in RePEc: Add citation now

  12. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1):57– 82.

  13. Chan, W. S. (2003). Stock price reaction to news and no-news: Drift and reversal after headlines. Journal of Financial Economics, 70(2):223–260.
    Paper not yet in RePEc: Add citation now
  14. Cochrane, J. H. (2005). Asset Pricing. Princeton University Press, Princeton, New Jersey, US, revised edition.
    Paper not yet in RePEc: Add citation now
  15. De Long, J. B., Shleifer, A., Summer, L. H., and Waldmann, R. J. (1990a). Noise trader risk in financial markets. Journal of Political Economy, 98(4):703–738.
    Paper not yet in RePEc: Add citation now

  16. De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990b). Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance, 45(2):379–395.

  17. Diba, B. T. and Grossman, H. I. (1988). Explosive rational bubbles in stock prices? American Economic Review, 78(3):520–530.

  18. Donaldson, R. G. and Kamstra, M. (1996). A new dividend forecasting procedure that rejects bubbles in asset prices: The case of 1929’s stock market crash. Review of Financial Studies, 9(2):333–383.

  19. Estrella, A. and Rodriguez, A. P. (2005). One-sided test for an unknown breakpoint: Theory, computations, and application to monetary policy. Staff Report 232, Federal Reserve Bank of New York, New York, NY, USA.
    Paper not yet in RePEc: Add citation now
  20. Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38(1):34–105.
    Paper not yet in RePEc: Add citation now

  21. Fama, E. F. and French, K. R. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96(2):246–273.

  22. Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1):3–56.

  23. Fama, E. F. and French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2):153–193.

  24. Gayer, A. D., Jacobson, A., and Finkelstein, I. (1940). British share prices, 1811-1850. Review of Economics and Statistics, 22(2):78–93.
    Paper not yet in RePEc: Add citation now

  25. Jarrow, R., Kchia, Y., and Protter, P. (2011). Is there a bubble in LinkedIn’s stock price? Journal of Portfolio Management, 38(1):125–130.

  26. Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1):65–91.

  27. Kapetanios, G. (2008). A bootstrap procedure for panel data sets with many cross-sectional units. Econometrics Journal, 11(2):377–395.

  28. Kindleberger, C. P. (2000). Manias, Panics, and Crashes, a History of Financial Crises. John Wiley & Sons, Inc., New York, NJ, USA, 4th edition.
    Paper not yet in RePEc: Add citation now

  29. Kosowski, R., Timmermann, A., Wermers, R., and White, H. (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. Journal of Finance, 61(6):2551– 2595.

  30. Lahiri, S. (2003). Resampling Methods for Dependent Data. Springer, New York, NY, US.
    Paper not yet in RePEc: Add citation now

  31. Lemmon, M. and Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. Review of Financial Services, 19(4):1499–1529.

  32. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47:13–37.
    Paper not yet in RePEc: Add citation now
  33. Malkiel, B. G. (1996). A Random Walk Down Wall Street. W. W. Norton & Company, New York, USA, 6th edition.
    Paper not yet in RePEc: Add citation now

  34. Moskowitz, T. J. and Grinblatt, M. (1999). Do industries explain momentum. Journal of Finance, 54(4):1249–1290.

  35. Newey, W. K. and West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3):703–708.

  36. Phillips, P. C., Wu, Y., and Yu, J. (2010). Explosive behavior in the 1990s nasdaq: When did exuberance escalate asset values? International Economic Review, forthcoming.
    Paper not yet in RePEc: Add citation now

  37. Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19:425–442.

  38. Shiller, R. J. (2000). Irrational Exuberance. Princeton University Press, Princeton NJ, USA.
    Paper not yet in RePEc: Add citation now

  39. Shleifer, A. and Vishny, R. (1997). The limits of arbitrage. Journal of Finance, 52(1):35–55.

  40. Temin, P. and Voth, H.-J. (2004). Riding the South Sea bubble. American Economic Review, 94(5):1654–1668.

  41. Verbeek, M. (2004). A Guide to Modern Econometrics. John Wiley & Sons, Ltd., Chichester, West Sussex, United Kingdom, 2nd edition.
    Paper not yet in RePEc: Add citation now

  42. White, E. (1990). The stock market boom and crash of 1929 revisited. Journal of Economic Perspectives, 4(2):67–83.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Structural Break Tests Robust to Regression Misspecification. (2016). Boldea, Otilia ; Morshed, Alaa Abi ; Andreou, E.
    In: Discussion Paper.
    RePEc:tiu:tiucen:3b21f21c-2cef-49d7-bb9b-ad81f5ee71f2.

    Full description at Econpapers || Download paper

  2. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. (2016). Racicot, François-Éric ; Theoret, Raymond .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:41-61.

    Full description at Econpapers || Download paper

  3. Asymmetric causality in-mean and in-variance among equity markets indexes. (2016). Gonzalez, Mariano.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:36:y:2016:i:c:p:49-68.

    Full description at Econpapers || Download paper

  4. Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280.

    Full description at Econpapers || Download paper

  5. Structural breaks and monetary dynamics: A time series analysis. (2016). El-Shazly, Alaa .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:133-143.

    Full description at Econpapers || Download paper

  6. Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve. (2016). Rambaccussing, Dooruj ; Russell, Bill.
    In: Dundee Discussion Papers in Economics.
    RePEc:dun:dpaper:294.

    Full description at Econpapers || Download paper

  7. U.S. and Mexican Tomatoes: Perceptions and Implications of the Renegotiated Suspension Agreement. (2016). Seale, James ; Asci, Serhat ; Vansickle, John J ; Onel, Gulcan.
    In: Journal of Agricultural and Resource Economics.
    RePEc:ags:jlaare:230780.

    Full description at Econpapers || Download paper

  8. Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?. (2015). Pelizzon, Loriana ; Tomio, Davide ; Subrahmanyam, Marti G. ; Uno, Jun.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:95.

    Full description at Econpapers || Download paper

  9. Momentum in Imperial Russia. (2015). Goetzmann, William ; Huang, Simon.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21700.

    Full description at Econpapers || Download paper

  10. The Equilibrium Real Funds Rate: Past, Present and Future. (2015). West, Kenneth ; Hamilton, James ; Harris, Ethan S ; Hatzius, Jan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21476.

    Full description at Econpapers || Download paper

  11. Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets. (2015). Darrat, Ali ; Lambert, Charles ; Ngene, Geoffrey.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:50:y:2015:i:4:p:465-483.

    Full description at Econpapers || Download paper

  12. Detecting financial contagion in a multivariate system. (2014). Candelon, Bertrand ; Manner, Hans ; Blatt, Dominik .
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
    RePEc:zbw:vfsc14:100411.

    Full description at Econpapers || Download paper

  13. The equity premium: a deeper puzzle. (2014). Azeredo, Francisco.
    In: Annals of Finance.
    RePEc:kap:annfin:v:10:y:2014:i:3:p:347-373.

    Full description at Econpapers || Download paper

  14. Trust and the Welfare State: The Twin Peaks Curve. (2014). Sangnier, Marc ; Cahuc, Pierre ; Algan, Yann.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01000117.

    Full description at Econpapers || Download paper

  15. Forecasting House Prices in the United States with Multiple Structural Breaks. (2014). Chowdhury, Kushal Banik ; Kundu, Srikanta ; Sarkar, Nityananda ; Barari, Mahua.
    In: International Econometric Review (IER).
    RePEc:erh:journl:v:6:y:2014:i:1:p:1-23.

    Full description at Econpapers || Download paper

  16. The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. (2014). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:31:y:2014:i:c:p:21-33.

    Full description at Econpapers || Download paper

  17. Measuring and testing for the systemically important financial institutions. (2014). Castro Iragorri, Carlos ; Ferrari, Stijn .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:25:y:2014:i:c:p:1-14.

    Full description at Econpapers || Download paper

  18. Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry. (2014). Pouliot, William ; Olmo, Jose.
    In: Discussion Papers.
    RePEc:bir:birmec:14-02.

    Full description at Econpapers || Download paper

  19. The duration of business cycle expansions and contractions: are there change-points in duration dependence?. (2013). Castro, Vitor.
    In: Empirical Economics.
    RePEc:spr:empeco:v:44:y:2013:i:2:p:511-544.

    Full description at Econpapers || Download paper

  20. Physician Agency and Competition: Evidence from a Major Change to Medicare Chemotherapy Reimbursement Policy. (2013). Newhouse, Joseph ; Craig C. Earle, M. D., ; Chang, Tom Y. ; Jacobson, Mireille.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19247.

    Full description at Econpapers || Download paper

  21. Okuns Law: Fit at Fifty?. (2013). Loungani, Prakash ; Ball, Laurence ; Leigh, Daniel.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18668.

    Full description at Econpapers || Download paper

  22. Testing for Structural Breaks at Unknown Time: A Steeplechase. (2013). Giesen, Sebastian ; El-Shagi, Makram.
    In: Computational Economics.
    RePEc:kap:compec:v:41:y:2013:i:1:p:101-123.

    Full description at Econpapers || Download paper

  23. Expected monetary policy and the dynamics of bank lending rates. (2013). Scharler, Johann ; Kwapil, Claudia.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:542-551.

    Full description at Econpapers || Download paper

  24. Fiscal policy in good and bad times. (2013). Lieb, Lenard ; Candelon, Bertrand.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:12:p:2679-2694.

    Full description at Econpapers || Download paper

  25. Multiple Change-Point Detection in Linear Regression Models via U-Statistic Type Processes. (2013). Pouliot, William ; Kapar, Burcu.
    In: Discussion Papers.
    RePEc:bir:birmec:13-13.

    Full description at Econpapers || Download paper

  26. GDP and life expectancy in Italy and Spain over the long-run (1861-2008): insights from a time-series approach. (2013). Felice, Emanuele ; Andreu, Josep Pujol .
    In: UHE Working papers.
    RePEc:aub:uhewps:2013_06.

    Full description at Econpapers || Download paper

  27. Do financial investors affect the price of wheat?. (2012). Girardi, Daniele.
    In: MPRA Paper.
    RePEc:pra:mprapa:40285.

    Full description at Econpapers || Download paper

  28. Identifying observed factors in approximate factor models: estimation and hypothesis testing. (2012). Chen, Liang.
    In: MPRA Paper.
    RePEc:pra:mprapa:37514.

    Full description at Econpapers || Download paper

  29. Exports, imports and growth. (2012). Rinaldi, Alberto ; Pistoresi, Barbara.
    In: Explorations in Economic History.
    RePEc:eee:exehis:v:49:y:2012:i:2:p:241-254.

    Full description at Econpapers || Download paper

  30. Do financial investors affect commodity prices? The case of Hard Red Winter Wheat. (2011). Girardi, Daniele.
    In: MPRA Paper.
    RePEc:pra:mprapa:35670.

    Full description at Econpapers || Download paper

  31. Arguments contre la zone franc. (2011). Kuikeu, Oscar.
    In: MPRA Paper.
    RePEc:pra:mprapa:33710.

    Full description at Econpapers || Download paper

  32. Comment la dernière crise financière a relancé le débat relatif à larrimage du fcfa à leuro. (2011). Kuikeu, Oscar.
    In: MPRA Paper.
    RePEc:pra:mprapa:32077.

    Full description at Econpapers || Download paper

  33. Measuring and testing for the systemically important financial institutions. (2011). Castro Iragorri, Carlos ; Ferrari, Stijn .
    In: DOCUMENTOS DE TRABAJO.
    RePEc:col:000092:008779.

    Full description at Econpapers || Download paper

  34. Modern Medicine and the Twentieth Century Decline in Mortality: Evidence on the Impact of Sulfa Drugs. (2010). Jayachandran, Seema ; Smith, Kimberly V. ; Lleras-Muney, Adriana.
    In: American Economic Journal: Applied Economics.
    RePEc:aea:aejapp:v:2:y:2010:i:2:p:118-46.

    Full description at Econpapers || Download paper

  35. The Persistence of Inflation in Switzerland. (2009). Maag, Thomas ; Elmer, Simone .
    In: KOF Working papers.
    RePEc:kof:wpskof:09-235.

    Full description at Econpapers || Download paper

  36. Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics. (2008). Kauppi, Heikki.
    In: Discussion Papers.
    RePEc:tkk:dpaper:dp31.

    Full description at Econpapers || Download paper

  37. Likelihood-Based Confidence Sets for the Timing of Structural Breaks. (2008). Morley, James ; Eo, Yunjong.
    In: MPRA Paper.
    RePEc:pra:mprapa:10372.

    Full description at Econpapers || Download paper

  38. Trade costs and the Home Market Effect. (2008). Trionfetti, Federico ; Crozet, Matthieu.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-00497693.

    Full description at Econpapers || Download paper

  39. The dynamic interaction of order flows and the CAD/USD exchange rate. (2008). Neely, Christopher ; Gradojevic, Nikola.
    In: Working Papers.
    RePEc:fip:fedlwp:2008-006.

    Full description at Econpapers || Download paper

  40. Changes in the informational content of term spreads: Is monetary policy becoming less effective?. (2008). Gómez Biscarri, Javier ; Gomez-Biscarri, Javier .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:60:y:2008:i:5:p:415-435.

    Full description at Econpapers || Download paper

  41. Trade costs and the Home Market Effect. (2008). Trionfetti, Federico ; Crozet, Matthieu.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:76:y:2008:i:2:p:309-321.

    Full description at Econpapers || Download paper

  42. Business fluctuations in Italy, 1861-1913: The new evidence. (2007). Fenoaltea, Stefano ; Ciccarelli, Carlo.
    In: Explorations in Economic History.
    RePEc:eee:exehis:v:44:y:2007:i:3:p:432-451.

    Full description at Econpapers || Download paper

  43. Finite sample multivariate structural change tests with application to energy demand models. (2007). Yelou, Clement ; Khalaf, Lynda ; Bernard, Jean-Thomas ; Idoudi, Nadhem .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1219-1244.

    Full description at Econpapers || Download paper

  44. Testing for Breaks Using Alternating Observations. (2006). Iglesias, Emma ; Bunzel, Helle.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:12694.

    Full description at Econpapers || Download paper

  45. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11792.

    Full description at Econpapers || Download paper

  46. One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory. (2005). Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:232.

    Full description at Econpapers || Download paper

  47. Establishing credibility: evolving perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
    In: Staff Reports.
    RePEc:fip:fednsr:231.

    Full description at Econpapers || Download paper

  48. Robust GMM tests for structural breaks. (2005). Urga, Giovanni ; Trojani, Fabio ; Gagliardini, Patrick.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:139-182.

    Full description at Econpapers || Download paper

  49. Impact factors. (2005). Paruolo, Paolo ; Omtzigt, Pieter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:128:y:2005:i:1:p:31-68.

    Full description at Econpapers || Download paper

  50. Nominal rigidities, relative prices and skewness. (2005). Dabús, Carlos ; Caraballo, M. Angeles ; Dabus, Carlos.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2005_17.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-18 12:45:52 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.