Affiliations: Department of PG Studies and Research in Statistics, Mangalore University, Mangalagangothri Karnataka, India
Correspondence:
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Corresponding author: S. Harsha, Department of PG Studies and Research in Statistics, Mangalore University, Mangalagangothri, Karnatak, India. Tel.: +91 8073080259; E-mail: harshasprabhu01@gmail.com.
Abstract: Study of financial bubbles is the extremely important topic in the modern society. Their formation and dramatic bursts are frequently considered to have a massive impact on most of the fields all over the world. Although the literature presents plenty of reviews on bubbles, crashes, and financial crises, the debate is still open even on whether or not bubbles can persist in modern asset markets. The idea of usage of econometric tests to detect these bubbles are not new and can be classified into 6 groups namely, tests based on the variance, tests based on unit root, tests based on regimes, tests based on Johansen-Ledoit-Sornette model, tests based on durations and tests based on neural networks. This paper presents a review of research in these areas of detection and analysis of the financial bubbles.
Keywords: Collapsible bubble, ADF unit root test, auto-correlation, regime, JLS model, durations, ANN
