The scientific study of complex systems has transformed a wide range of disciplines in
recent years, enabling researchers in both the natural and social sciences to model and …

Can rational stochastic asset bubbles help explain the excess volatility of stock prices? The
bubble considered here is treated as an unobserved state vector in the state‐space model …

Motivated by repeated spikes and crashes during previous decades we investigate whether
the heavily financialized market for crude oil has been driven by speculative bubbles. In our …

Bubbles and crashes have long been an important area of research that has not yet led to a
comprehensive theoretical or empirical understanding of how to define, measure, and …

Between 2008 and 2013, home prices in Israel appreciated by roughly 50% in real terms,
with increases in nearly 60% in some regions. This paper examines whether this …

Economists broadly define financial asset price bubbles as episodes in which prices rise
with notable rapidity and depart from historically established asset valuation multiples and …

There has been mixed evidence regarding the existence of rational bubbles in the foreign
exchange markets. This paper introduces recently developed sequential unit root tests into …

In this paper we use a state-space model with Markov-switching to detect speculative
bubbles in stock-price data. To this end we express a present-value stock-price model in …

Twenty-one significant bubbles followed by large crashes or severe corrections in Latin-
American and Asian stock markets are identified. We find that, with very few exceptions …

Purpose The last decades have experienced increasingly integrated global political and
economic dynamics ranging especially from the influence of exchange rates and trade amid …