书目名称 | Rational Bubbles |
副标题 | Theoretical Basis, E |
编辑 | Matthias Salge |
视频video | |
丛书名称 | Lecture Notes in Economics and Mathematical Systems |
图书封面 |  |
描述 | 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 2 |
出版日期 | Book 1997 |
关键词 | Aktienmarkt; Capital Markets; Deutscher Aktienmarkt; Kursentwicklung; german stock market; rational bubbl |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-642-59181-5 |
isbn_softcover | 978-3-540-62629-9 |
isbn_ebook | 978-3-642-59181-5Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
issn_series | 0075-8442 |
copyright | Springer-Verlag Berlin Heidelberg 1997 |