Testing for an Explosive Bubble using High-Frequency Volatility

• Tác giả: H. Peter Boswijk, Jun Yu, Yang Zu
• Ngôn ngữ: eng
• Ký hiệu phân loại: 614.83 Forensic medicine; incidence of injuries, wounds, disease; public preventive medicine
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 202550

Tóm tắt

Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed test has a nuisance-parameter-free asymptotic distribution and is easy to implement. We study the size and power properties of the test in Monte Carlo simulations. A real-time date-stamping strategy based on the devolatized sample is proposed for the origination and conclusion dates of the explosive regime. Conditions under which the real-time date-stamping strategy is consistent are established. The test and the date-stamping strategy are applied to study explosive behavior in cryptocurrency and stock markets.