https://www.scipedia.com/wd/index.php?action=history&feed=atom&title=Kurozumi_et_al_2023aKurozumi et al 2023a - Revision history2026-04-16T15:40:26ZRevision history for this page on the wikiMediaWiki 1.27.0-wmf.10https://www.scipedia.com/wd/index.php?title=Kurozumi_et_al_2023a&diff=285329&oldid=prevElle.grebennikova: Elle.grebennikova moved page Draft Grebennikova 145108506 to Kurozumi et al 2023a2023-10-12T11:51:08Z<p>Elle.grebennikova moved page <a href="/public/Draft_Grebennikova_145108506" class="mw-redirect" title="Draft Grebennikova 145108506">Draft Grebennikova 145108506</a> to <a href="/public/Kurozumi_et_al_2023a" title="Kurozumi et al 2023a">Kurozumi et al 2023a</a></p>
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</td></tr></table>Elle.grebennikovahttps://www.scipedia.com/wd/index.php?title=Kurozumi_et_al_2023a&diff=285328&oldid=prevElle.grebennikova: Created page with " == Abstract == In this study, we consider a four-regime bubble model under the assumption of timevarying volatility and propose an algorithm of estimating the break dates wi..."2023-10-12T11:51:05Z<p>Created page with " == Abstract == In this study, we consider a four-regime bubble model under the assumption of timevarying volatility and propose an algorithm of estimating the break dates wi..."</p>
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== Abstract ==<br />
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In this study, we consider a four-regime bubble model under the assumption of timevarying volatility and propose an algorithm of estimating the break dates with volatility correction. First, we estimate the emerging date of the explosive bubble, its collapsing date, and its recovering date to the normal market under the assumption of homoskedasticity. Second, we collect the residuals and then employ the weighted-least-squares-based estimation of the bubble dates. Using Monte Carlo simulations, we demonstrate that the accuracy of the break date estimators improves significantly via this two-step procedure in some cases compared to those based on the ordinary least squares method.<br />
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== Full document ==<br />
<pdf>Media:Draft_Grebennikova_145108506-9421-document.pdf</pdf></div>Elle.grebennikova