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Testing explosive bubbles with time-varying volatility: The case of Spanish public debt
Finance Research Letters ( IF 7.4 ) Pub Date : 2022-09-16 , DOI: 10.1016/j.frl.2022.103330
Vicente Esteve , María A. Prats

In this paper the dynamics of the Spanish public debt-GDP ratio is analysed during the period 1850–2021. We use recent procedures to test for explosive bubbles in the presence under time-varying volatility (Harvey et al., 2016; Harvey et al., 2019, 2020; Kurozumi et al., 2022) in order to test the explosive behavior of Spanish public debt over this long period. We extend previous analysis of Esteve and Prats (2022) where assume constant unconditional volatility in the underlying error process.



中文翻译:

测试具有时变波动性的爆炸性泡沫:西班牙公共债务案例

本文分析了 1850 年至 2021 年期间西班牙公共债务与 GDP 比率的动态。我们使用最近的程序来测试时变波动下存在的爆炸性气泡(Harvey 等人,2016;Harvey 等人,2019,2020;Kurozumi 等人,2022),以测试西班牙语的爆炸行为长期的公共债务。我们扩展了先前对 Esteve 和 Prats (2022) 的分析,其中假设潜在错误过程中存在恒定的无条件波动。

更新日期:2022-09-19
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