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    Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?

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    Fulltext not available
    Authors
    Hu, Y.
    Oxley, Leslie
    Date
    2018
    Type
    Journal Article
    
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    Citation
    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
    DOI
    10.1016/j.econlet.2017.09.004
    ISSN
    0165-1765
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/66887
    Collection
    • Curtin Research Publications
    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.

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