Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?
| dc.contributor.author | Hu, Y. | |
| dc.contributor.author | Oxley, Leslie | |
| dc.date.accessioned | 2018-05-18T07:56:25Z | |
| dc.date.available | 2018-05-18T07:56:25Z | |
| dc.date.created | 2018-05-18T00:23:25Z | |
| dc.date.issued | 2018 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/66887 | |
| dc.identifier.doi | 10.1016/j.econlet.2017.09.004 | |
| dc.description.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. | |
| dc.publisher | Elsevier | |
| dc.title | Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? | |
| dc.type | Journal Article | |
| dcterms.source.volume | 162 | |
| dcterms.source.startPage | 131 | |
| dcterms.source.endPage | 134 | |
| dcterms.source.issn | 0165-1765 | |
| dcterms.source.title | Economics Letters | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Fulltext not available |
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