修正的倒向上确界ADF泡沫检验方法——来自上证综指的证据
发布时间：2018-09-14 18:11
【摘要】：模拟蒙特卡洛分析发现,当两个泡沫间隔很短或第一个泡沫比第二个持续时间较长时,BSADF检验方法不能准确地估计出第二个泡沫,而本文修正的BSADF检验方法能有效地克服此问题。通过比较这两种方法对上证综指泡沫的产生和破灭时间的估计差异,发现BSADF检验只能检验出一个泡沫,泡沫持续期为2006年12月至2007年12月,而修正的BSADF发现了紧邻的第二个短暂性泡沫,发生在金融危机期间。
[Abstract]:Simulation Monte Carlo analysis shows that when the interval between two bubbles is very short or the first foam is longer than the second one, the second bubble can not be estimated accurately by the BSADF test method, which can effectively overcome this problem. By comparing the difference between the two methods, we find that the BSADF test can only test one bubble, and the bubble duration is from December 2006 to December 2007. The modified BSADF found a second immediate temporary bubble, which occurred during the financial crisis.
【作者单位】： 华中科技大学经济学院;
【分类号】：F224;F832.51
[Abstract]:Simulation Monte Carlo analysis shows that when the interval between two bubbles is very short or the first foam is longer than the second one, the second bubble can not be estimated accurately by the BSADF test method, which can effectively overcome this problem. By comparing the difference between the two methods, we find that the BSADF test can only test one bubble, and the bubble duration is from December 2006 to December 2007. The modified BSADF found a second immediate temporary bubble, which occurred during the financial crisis.
【作者单位】： 华中科技大学经济学院;
【分类号】：F224;F832.51
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