Testing for Co‐explosive Behaviour in Financial Time Series
提出一种检验方法，判断两个各自存在泡沫性爆炸自回归区间的价格序列是否存在线性组合为平稳序列的共同爆炸行为，并应用于贵金属与有色金属市场。
Abstract This article proposes a test to determine if two price series that each contain an explosive autoregressive regime consistent with the presence of a bubble are related in the sense that a linear combination of them is integrated of order zero. We refer to such a phenomenon as ‘co‐explosive behaviour’, and propose a test based on a stationarity testing framework. The test allows the explosive episode in one series to lead (or lag) that in the other by a number of time periods. We establish the asymptotic properties of the test statistic and propose a wild bootstrap procedure for obtaining critical values that are robust to heteroskedasticity. Simulations show that the proposed test has good finite sample size and power performance. An empirical application to detect whether co‐explosive behaviour exists among a set of precious and non‐ferrous metals is presented.