testing for multiple buubles

Singapore Management University

Institutional Knowledge at Singapore Management University
Research Collection School Of Economics

School of Economics

8-2013

Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
Peter C. B. Phillips
Singapore Management University, [e-mail]

Shu-Ping SHI
Jun Yu
Singapore Management University, [e-mail]

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Citation
Phillips, Peter C. B.; SHI, Shu-Ping; and Yu, Jun. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500. (2013). Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1510

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Testing for Multiple Bubbles 1: Historical Episodes of
Exuberance and Collapse in the S&P 500
Peter C. B. Phillips, Shu-Ping Shi and Jun Yu
August 2013

Paper No. 04 – 2013

ANY OPINIONS EXPRESSED ARE THOSE OF THE AUTHOR(S) AND NOT NECESSARILY THOSE OF
THE SCHOOL OF ECONOMICS, SMU

Testing for Multiple Bubbles 1: Historical Episodes of
Exuberance and Collapse in the S&P 500
Peter C. B. Phillips
Yale University, University of Auckland,
University of Southampton & Singapore Management University
Shu-Ping Shi
The Australian National University

Jun Yu
Singapore Management University

July 28, 2013

Abstract
Recent work on econometric detection mechanisms has shown the e¤ectiveness of recursive procedures in identifying and dating …nancial bubbles. These procedures are useful

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