Erschienen: 23.05.1997 Abbildung von Salge | Rational Bubbles | 1997 | Theoretical Basis, Economic Re... | 451

Salge

Rational Bubbles

Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market

lieferbar ca. 10 Tage als Sonderdruck ohne Rückgaberecht

1997. Buch. x, 265 S. Bibliographien. Softcover

Springer. ISBN 978-3-540-62629-9

Format (B x L): 15,5 x 23,5 cm

Gewicht: 880 g

In englischer Sprache

Produktbeschreibung

3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets. 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats. 103 3. 2 Foreign exchange markets 109 3. 3 Hyperinflation. 117 4 On Testing for Rational Bubbles 123 4. 1 Indirect tests. 123 4. 1. 1 Variance bounds tests 124 4. 1. 2 Specification tests. 137 4. 1. 3 Integration and cointegration tests 140 4. 1. 4 Final assessment of indirect tests. 150 4. 1. 5 A digression: Charemza, Deadman (1995) analysis. 151 4. 2 Direct tests. 157 4. 2. 1 Deterministic bubble in German hyperinflation. 158 4. 2. 2 Intrinsic bubbles on stock markets. 163 4. 2. 3 An econometric caveat. 168 4. 2. 4 Final assessment of direct tests 172 5 On the Explanatory Power of Rational Bubbles on the G- man Stock Market 175 5. 1 Data. 175 5. 2 Direct test for rational bubbles 181 5. 2. 1 Temporary Markovian bubbles. 184 5. 2. 2 Temporary intrinsic bubbles. 193 ix 5. 2. 3 Permanent intrinsic bubbles 198 5. 3 A digression: Testing for unit roots 204 6 Concluding Remarks 215 A Results 221 A. 1 Temporary markovian bubbles. 221 A. 2 Temporary intrinsic bubbles. 225 A. 3 Permanent intrinsic bubbles - Class 1 to 2 229 A. 4 Permanent intrinsic bubbles - Class 3 to 6 230 A. 5 Integration tests.

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