Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?
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Authors
Hu, Y.
Oxley, Leslie
Date
2018Type
Journal Article
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Hu, Y. and Oxley, L. 2018. Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? Economics Letters. 162: pp. 131-134.
Source Title
Economics Letters
ISSN
School
School of Economics and Finance
Collection
Abstract
Applying the methods of Phillips et al. (2015, PSY), while considering the possibility of non-stationary volatility (Harvey et al., 2016), evidence of exuberance in share prices is confirmed for the South Sea Company, and established for a number of other 18th century financial organisations, for the first time. The timings of these bubble episodes show signs of possible contagion.