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Problemy Upravleniya, 2017, Issue 4, Pages 17–25 (Mi pu1036)  
This article is cited in 2 scientific papers (total in 2 papers)

Control in the socio-economic systems

Comparison of the econometric data analysis methods for the financial bubbles identification

E. A. Grebenyuka, A. V. Malinkinab

a V. A. Trapeznikov Institute of Control Sciences of Russian Academy of Sciences, Moscow
b Moscow
Full-text PDF (586 kB) Citations (2)
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Abstract: The comparative analysis of econometric methods is conducted of detecting and dating financial market bubbles, based on modern approach to bubbles identification. Two methods are compared, based on defining financial bubbles as periods in which the price change dynamics is described as an explosive-type non-stationary process. The comparison is conducted with the use of Monte Carlo simulation results.
Keywords: explosive process, right-tailed unit root test, correlation coefficient, sequential analysis.
Document Type: Article
UDC: 519.237.5
Language: Russian
Citation: E. A. Grebenyuk, A. V. Malinkina, “Comparison of the econometric data analysis methods for the financial bubbles identification”, Probl. Upr., 2017, no. 4, 17–25
Citation in format AMSBIB
\Bibitem{GreMal17}
\by E.~A.~Grebenyuk, A.~V.~Malinkina
\paper Comparison of the econometric data analysis methods for the financial bubbles identification
\jour Probl. Upr.
\yr 2017
\issue 4
\pages 17--25
\mathnet{http://mi.mathnet.ru/pu1036}
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  • https://www.mathnet.ru/eng/pu1036
  • https://www.mathnet.ru/eng/pu/v4/p17
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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