论文标题
非平稳波动下爆炸气泡的时间转换测试
Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility
论文作者
论文摘要
本文致力于测试在不断变化的非平稳波动下的爆炸性气泡。因为精液Phillips等人的限制分布。 （2011）测试取决于方差函数，通常需要在异性恋性下实现引导程序，我们基于时域的变形来构建测试。该提出的测试在零假设下渐近关键及其限制分布与同性恋性下的标准测试相吻合，因此该测试不需要计算广泛的推理方法。通过蒙特卡洛模拟证明了有限的样本特性。经验应用表明，在样本中间的加密货币时间序列的上升行为部分由波动性变化部分解释。
This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under the null hypothesis and its limiting distribution coincides with that of the standard test under homoskedasticity, so that the test does not require computationally extensive methods for inference. Appealing finite sample properties are demonstrated through Monte-Carlo simulations. An empirical application demonstrates that the upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change.
